Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Vanguard International Semiconductor Corp backtest
10 trend-following strategies were compared on the full daily history of Vanguard International Semiconductor Corp. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -40.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.4%, drawdown -75.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.9%, MDD -51.4%, Sharpe 0.58, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 12.4%, MDD -40.4%, exposure 59%).
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=88, threshold=-0.12 |
14.9% | -51.4% | 0.58 | 0.29 | 13.2x | 101 | 80% |
| Donchian 채널 돌파 entryN=70, exitN=73 |
12.4% | -40.4% | 0.53 | 0.31 | 8.8x | 25 | 59% |
| Supertrend period=29, mult=5 |
11.3% | -45.7% | 0.51 | 0.25 | 7.3x | 52 | 56% |
| SMA 크로스오버 fast=24, slow=204 |
10.7% | -52.5% | 0.48 | 0.20 | 6.6x | 31 | 62% |
| EMA 크로스오버 fast=35, slow=191 |
9.1% | -54.4% | 0.44 | 0.17 | 5.0x | 29 | 62% |
| ADX / DI 방향성 period=39, threshold=11 |
7.9% | -53.0% | 0.41 | 0.15 | 4.1x | 142 | 49% |
| 볼린저 밴드 돌파 n=54, k=1.2 |
6.3% | -57.9% | 0.36 | 0.11 | 3.1x | 118 | 43% |
| Parabolic SAR step=0.01, maxStep=0.1 |
4.7% | -51.2% | 0.31 | 0.09 | 2.4x | 214 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=2.4 |
4.5% | -47.7% | 0.30 | 0.09 | 2.3x | 84 | 36% |
| MACD fast=21, slow=33, signal=17 |
4.4% | -64.4% | 0.30 | 0.07 | 2.2x | 198 | 49% |
| Buy and hold | 10.4% | -75.4% | 0.45 | 0.14 | 6.2x | 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 88-day return is greater than -12%
- Sell — Sell when the 88-day return drops to -12% or below