Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Phoenix Silicon International Corp. backtest
10 trend-following strategies were compared on the full daily history of Phoenix Silicon International Corp.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.5%, MDD -50.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.8%, drawdown -72.4%).
Sharpe leader (same as main): MACD — CAGR 6.4%, MDD -64.7%, Sharpe 0.36, 54% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 21.0%, MDD -65.5%, exposure 93%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.4%p lower than buy and hold, while drawdown improves by 7.8%p (CAGR 19.5%, MDD -50.7%, exposure 68%).
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=15, slow=49, signal=17 |
6.4% | -64.7% | 0.36 | 0.10 | 3.2x | 142 | 54% |
| Supertrend period=25, mult=3.2 |
6.3% | -60.7% | 0.36 | 0.10 | 3.1x | 80 | 34% |
| ADX / DI 방향성 period=39, threshold=11 |
4.8% | -59.4% | 0.31 | 0.08 | 2.4x | 80 | 33% |
| EMA 크로스오버 fast=32, slow=164 |
4.7% | -59.3% | 0.30 | 0.08 | 2.4x | 25 | 42% |
| ROC 모멘텀 n=14, threshold=-0.11 |
21.0% | -65.5% | 0.30 | 0.32 | 35.3x | 161 | 93% |
| SMA 크로스오버 fast=49, slow=128 |
4.4% | -66.8% | 0.30 | 0.07 | 2.3x | 27 | 40% |
| Donchian 채널 돌파 entryN=98, exitN=79 |
19.5% | -50.7% | 0.28 | 0.38 | 27.6x | 13 | 68% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=18, mult=1.8 |
14.1% | -59.4% | 0.25 | 0.24 | 11.7x | 86 | 36% |
| 볼린저 밴드 돌파 n=15, k=2.3 |
2.5% | -63.2% | 0.22 | 0.04 | 1.6x | 106 | 14% |
| Parabolic SAR step=0.04, maxStep=0.24 |
1.2% | -75.6% | 0.18 | 0.02 | 1.2x | 336 | 30% |
| Buy and hold | 16.8% | -72.4% | 0.30 | 0.23 | 18.0x | 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 (15/49) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line