Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Ta Liang Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ta Liang Technology Co., Ltd.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.9%, MDD -39.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.0%, drawdown -84.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.5%, MDD -45.9%, Sharpe 0.64, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.6%, MDD -56.2%, exposure 66%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 18.9%, MDD -39.9%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=23, slow=35 |
16.5% | -45.9% | 0.64 | 0.36 | 17.2x | 70 | 58% |
| SMA 크로스오버 fast=11, slow=197 |
16.2% | -54.6% | 0.62 | 0.30 | 16.3x | 25 | 50% |
| MACD fast=23, slow=42, signal=24 |
14.0% | -51.3% | 0.60 | 0.27 | 11.3x | 114 | 40% |
| Donchian 채널 돌파 entryN=50, exitN=48 |
23.6% | -56.2% | 0.57 | 0.42 | 51.5x | 34 | 66% |
| ADX / DI 방향성 period=15, threshold=7 |
23.6% | -48.0% | 0.57 | 0.49 | 51.0x | 218 | 68% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=1.1 |
22.5% | -47.6% | 0.56 | 0.47 | 43.7x | 104 | 58% |
| Supertrend period=21, mult=3.4 |
21.5% | -55.4% | 0.54 | 0.39 | 37.3x | 86 | 59% |
| ROC 모멘텀 n=143, threshold=-0.03 |
21.2% | -55.1% | 0.54 | 0.38 | 35.6x | 67 | 69% |
| Parabolic SAR step=0.01, maxStep=0.14 |
19.3% | -69.6% | 0.51 | 0.28 | 26.7x | 158 | 61% |
| 볼린저 밴드 돌파 n=45, k=1.9 |
18.9% | -39.9% | 0.50 | 0.47 | 25.1x | 70 | 45% |
| Buy and hold | 15.0% | -84.2% | 0.46 | 0.18 | 13.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 35-day EMA
- Sell — Sell when the 23-day EMA falls below the 35-day EMA