Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Wistron Corporation backtest
10 trend-following strategies were compared on the full daily history of Wistron Corporation. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.9%, MDD -45.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.4%, drawdown -76.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.6%, MDD -39.9%, Sharpe 0.70, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.1%, MDD -46.6%, exposure 52%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 36.3%p (CAGR 11.9%, MDD -45.9%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=31, threshold=25 |
9.6% | -39.9% | 0.70 | 0.24 | 8.2x | 28 | 9% |
| 볼린저 밴드 돌파 n=18, k=3.4 |
6.3% | -17.2% | 0.70 | 0.37 | 4.1x | 14 | 4% |
| SMA 크로스오버 fast=36, slow=90 |
15.1% | -46.6% | 0.65 | 0.32 | 25.3x | 57 | 52% |
| Donchian 채널 돌파 entryN=70, exitN=46 |
13.7% | -51.3% | 0.63 | 0.27 | 19.2x | 45 | 42% |
| Supertrend period=18, mult=3.2 |
12.2% | -51.3% | 0.58 | 0.24 | 14.1x | 149 | 50% |
| EMA 크로스오버 fast=34, slow=124 |
11.9% | -45.9% | 0.55 | 0.26 | 13.2x | 45 | 52% |
| ROC 모멘텀 n=86, threshold=0.08 |
10.6% | -66.3% | 0.53 | 0.16 | 10.1x | 195 | 38% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=2.8 |
7.7% | -52.2% | 0.45 | 0.15 | 5.5x | 89 | 30% |
| Parabolic SAR step=0.005, maxStep=0.28 |
8.5% | -53.4% | 0.45 | 0.16 | 6.5x | 172 | 51% |
| MACD fast=15, slow=36, signal=16 |
3.9% | -57.9% | 0.28 | 0.07 | 2.4x | 285 | 52% |
| Buy and hold | 11.4% | -76.3% | 0.48 | 0.15 | 11.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 31-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)