Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Unimicron Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Unimicron Technology Corp.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 19.3%, MDD -55.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.5%, drawdown -84.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.3%, MDD -55.9%, Sharpe 0.71, 39% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 19.3%, MDD -55.9%, exposure 39%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=79, threshold=0.1 |
19.3% | -55.9% | 0.71 | 0.35 | 110.7x | 223 | 39% |
| EMA 크로스오버 fast=9, slow=53 |
17.4% | -64.4% | 0.63 | 0.27 | 72.7x | 135 | 56% |
| SMA 크로스오버 fast=36, slow=50 |
16.0% | -78.2% | 0.60 | 0.21 | 52.8x | 148 | 52% |
| Donchian 채널 돌파 entryN=37, exitN=43 |
16.0% | -71.6% | 0.59 | 0.22 | 52.8x | 65 | 61% |
| ADX / DI 방향성 period=51, threshold=12 |
13.9% | -60.4% | 0.57 | 0.23 | 32.5x | 107 | 38% |
| Supertrend period=14, mult=3.8 |
14.2% | -74.6% | 0.56 | 0.19 | 34.4x | 115 | 56% |
| 볼린저 밴드 돌파 n=58, k=0.3 |
12.6% | -67.9% | 0.52 | 0.19 | 23.7x | 239 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=1.1 |
10.4% | -65.6% | 0.47 | 0.16 | 14.0x | 205 | 47% |
| MACD fast=17, slow=35, signal=15 |
2.7% | -75.5% | 0.26 | 0.04 | 2.0x | 331 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
1.3% | -89.9% | 0.22 | 0.01 | 1.4x | 529 | 54% |
| Buy and hold | 17.5% | -84.9% | 0.59 | 0.21 | 73.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 79-day return is greater than 10%
- Sell — Sell when the 79-day return drops to 10% or below