Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Surface Mounting Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Surface Mounting Technology Corp.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.9%, MDD -48.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.1%, drawdown -69.0%).
Sharpe leader (same as main): Supertrend — CAGR 16.2%, MDD -53.9%, Sharpe 0.68, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 15.1%p (CAGR 10.9%, MDD -48.8%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=22, mult=2.7 |
16.2% | -53.9% | 0.68 | 0.30 | 16.5x | 137 | 49% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=11, mult=1.4 |
11.2% | -51.4% | 0.56 | 0.22 | 7.3x | 161 | 32% |
| Parabolic SAR step=0.005, maxStep=0.24 |
11.1% | -61.4% | 0.52 | 0.18 | 7.1x | 143 | 48% |
| SMA 크로스오버 fast=15, slow=28 |
10.9% | -48.8% | 0.51 | 0.22 | 6.8x | 179 | 52% |
| MACD fast=14, slow=56, signal=19 |
10.5% | -53.3% | 0.51 | 0.20 | 6.5x | 199 | 51% |
| ROC 모멘텀 n=18, threshold=0.1 |
8.2% | -42.3% | 0.50 | 0.19 | 4.3x | 215 | 15% |
| 볼린저 밴드 돌파 n=36, k=1.9 |
7.7% | -50.9% | 0.43 | 0.15 | 4.0x | 109 | 32% |
| Donchian 채널 돌파 entryN=99, exitN=43 |
7.0% | -54.8% | 0.40 | 0.13 | 3.5x | 32 | 29% |
| ADX / DI 방향성 period=24, threshold=11 |
7.0% | -66.8% | 0.38 | 0.10 | 3.5x | 207 | 50% |
| EMA 크로스오버 fast=8, slow=206 |
4.6% | -74.2% | 0.30 | 0.06 | 2.3x | 57 | 46% |
| Buy and hold | 10.1% | -69.0% | 0.45 | 0.15 | 6.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 22-day volatility, 2.7× band
- Sell — Sell when price drops below the trend line (flips down)