Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tower Semiconductor Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tower Semiconductor Ltd.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.5%, MDD -61.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.1%, drawdown -99.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.7%, MDD -75.2%, Sharpe 0.65, 40% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 15.5%, MDD -61.3%, exposure 46%).
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=138, threshold=0.13 |
19.7% | -75.2% | 0.65 | 0.26 | 305.8x | 153 | 40% |
| SMA 크로스오버 fast=14, slow=156 |
17.3% | -66.5% | 0.59 | 0.26 | 159.2x | 71 | 46% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=17, mult=1.7 |
15.1% | -68.8% | 0.57 | 0.22 | 88.0x | 140 | 38% |
| Supertrend period=8, mult=4.5 |
16.2% | -82.2% | 0.56 | 0.20 | 116.9x | 114 | 50% |
| EMA 크로스오버 fast=11, slow=152 |
15.5% | -61.3% | 0.55 | 0.25 | 96.2x | 75 | 46% |
| Donchian 채널 돌파 entryN=90, exitN=65 |
15.6% | -77.6% | 0.55 | 0.20 | 98.7x | 41 | 46% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
13.6% | -75.6% | 0.53 | 0.18 | 57.5x | 136 | 34% |
| ADX / DI 방향성 period=30, threshold=15 |
10.4% | -86.4% | 0.45 | 0.12 | 22.9x | 204 | 32% |
| Parabolic SAR step=0.01, maxStep=0.38 |
6.4% | -85.1% | 0.35 | 0.07 | 7.1x | 386 | 48% |
| MACD fast=19, slow=55, signal=15 |
-0.5% | -94.2% | 0.21 | -0.01 | 0.9x | 356 | 51% |
| Buy and hold | 0.1% | -99.7% | 0.30 | 0.00 | 1.0x | 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 138-day return is greater than 13%
- Sell — Sell when the 138-day return drops to 13% or below