Trend-Following Backtester · Guide · backtest 한국어
equity · TW
VisEra Technologies Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of VisEra Technologies Co., Ltd.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.9%, MDD -17.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.9%, drawdown -72.4%).
Sharpe leader (same as main): MACD — CAGR 31.2%, MDD -28.7%, Sharpe 1.02, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 34.1%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 13.9%, MDD -17.6%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=40, signal=6 |
31.2% | -28.7% | 1.02 | 1.09 | 4.2x | 70 | 49% |
| ADX / DI 방향성 period=6, threshold=38 |
20.5% | -28.7% | 0.89 | 0.72 | 2.7x | 54 | 23% |
| Supertrend period=26, mult=2.4 |
24.5% | -31.3% | 0.87 | 0.78 | 3.2x | 40 | 42% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
13.9% | -17.6% | 0.83 | 0.79 | 2.0x | 14 | 9% |
| Donchian 채널 돌파 entryN=23, exitN=4 |
18.0% | -20.4% | 0.82 | 0.88 | 2.4x | 38 | 19% |
| Parabolic SAR step=0.02, maxStep=0.28 |
19.6% | -31.1% | 0.73 | 0.63 | 2.6x | 94 | 44% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=22, mult=1 |
12.2% | -30.2% | 0.54 | 0.40 | 1.8x | 44 | 39% |
| EMA 크로스오버 fast=5, slow=60 |
9.5% | -36.2% | 0.44 | 0.26 | 1.6x | 32 | 46% |
| ROC 모멘텀 n=14, threshold=0.05 |
6.2% | -34.0% | 0.36 | 0.18 | 1.4x | 118 | 30% |
| SMA 크로스오버 fast=44, slow=63 |
5.7% | -44.5% | 0.34 | 0.13 | 1.3x | 22 | 49% |
| Buy and hold | -2.9% | -72.4% | 0.18 | -0.04 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/40) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line