Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Powerchip Semiconductor Manufacturing Corp. backtest
10 trend-following strategies were compared on the full daily history of Powerchip Semiconductor Manufacturing Corp.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.2%, MDD -22.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.4%, drawdown -84.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.7%, MDD -33.1%, Sharpe 1.01, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.4%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 18.2%, MDD -22.7%, exposure 9%).
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=109, threshold=0.13 |
30.7% | -33.1% | 1.01 | 0.93 | 4.6x | 28 | 21% |
| SMA 크로스오버 fast=16, slow=208 |
28.2% | -44.1% | 0.93 | 0.64 | 4.2x | 3 | 22% |
| EMA 크로스오버 fast=10, slow=194 |
25.7% | -44.1% | 0.87 | 0.58 | 3.7x | 5 | 22% |
| ADX / DI 방향성 period=23, threshold=30 |
18.2% | -22.7% | 0.84 | 0.81 | 2.6x | 4 | 9% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
19.7% | -36.2% | 0.76 | 0.55 | 2.8x | 12 | 18% |
| Supertrend period=18, mult=2.8 |
21.9% | -46.3% | 0.76 | 0.47 | 3.1x | 39 | 39% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=21, mult=3 |
17.8% | -33.5% | 0.75 | 0.53 | 2.6x | 14 | 16% |
| Donchian 채널 돌파 entryN=8, exitN=23 |
20.0% | -60.0% | 0.66 | 0.33 | 2.8x | 37 | 63% |
| Parabolic SAR step=0.02, maxStep=0.02 |
15.8% | -56.0% | 0.60 | 0.28 | 2.3x | 29 | 43% |
| MACD fast=17, slow=57, signal=25 |
12.4% | -51.8% | 0.52 | 0.24 | 2.0x | 39 | 48% |
| Buy and hold | 5.4% | -84.9% | 0.35 | 0.06 | 1.3x | 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 109-day return is greater than 13%
- Sell — Sell when the 109-day return drops to 13% or below