Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Nuvoton Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Nuvoton Technology Corporation. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.6%, MDD -51.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -74.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.6%, MDD -51.4%, Sharpe 0.57, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 14.6%, MDD -51.4%, exposure 51%).
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=47, slow=57 |
14.6% | -51.4% | 0.57 | 0.28 | 8.7x | 32 | 51% |
| MACD fast=18, slow=89, signal=22 |
14.0% | -59.0% | 0.57 | 0.24 | 8.0x | 124 | 51% |
| Donchian 채널 돌파 entryN=59, exitN=74 |
12.8% | -55.8% | 0.53 | 0.23 | 6.8x | 19 | 50% |
| SMA 크로스오버 fast=13, slow=126 |
12.6% | -52.0% | 0.52 | 0.24 | 6.6x | 40 | 51% |
| 볼린저 밴드 돌파 n=60, k=2.1 |
9.6% | -58.5% | 0.46 | 0.16 | 4.3x | 46 | 27% |
| ROC 모멘텀 n=30, threshold=-0.03 |
8.3% | -72.0% | 0.41 | 0.12 | 3.6x | 276 | 61% |
| Supertrend period=11, mult=3 |
6.5% | -66.1% | 0.36 | 0.10 | 2.7x | 102 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.8% | -59.4% | 0.31 | 0.08 | 2.1x | 114 | 49% |
| ADX / DI 방향성 period=20, threshold=14 |
3.1% | -69.0% | 0.26 | 0.05 | 1.6x | 184 | 44% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=2.2 |
1.8% | -59.0% | 0.21 | 0.03 | 1.3x | 80 | 28% |
| Buy and hold | 4.9% | -74.4% | 0.34 | 0.07 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 47-day EMA crosses above the 57-day EMA
- Sell — Sell when the 47-day EMA falls below the 57-day EMA