Trend-Following Backtester · Guide · backtest 한국어
equity · TW
GlobalWafers Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of GlobalWafers Co., Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 20.2%, MDD -36.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 21.9%, drawdown -71.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.6%, MDD -48.6%, Sharpe 0.87, 52% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 20.2%, MDD -36.9%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=63, slow=131 |
28.6% | -48.6% | 0.87 | 0.59 | 19.3x | 19 | 52% |
| Donchian 채널 돌파 entryN=86, exitN=81 |
25.4% | -48.6% | 0.83 | 0.52 | 14.3x | 11 | 44% |
| EMA 크로스오버 fast=37, slow=183 |
25.8% | -49.2% | 0.81 | 0.52 | 14.8x | 15 | 52% |
| 볼린저 밴드 돌파 n=58, k=3 |
19.6% | -37.0% | 0.79 | 0.53 | 8.2x | 18 | 22% |
| ROC 모멘텀 n=126, threshold=0.02 |
23.6% | -60.3% | 0.77 | 0.39 | 12.1x | 83 | 53% |
| ADX / DI 방향성 period=25, threshold=7 |
22.6% | -48.0% | 0.75 | 0.47 | 11.0x | 134 | 58% |
| Parabolic SAR step=0.01, maxStep=0.24 |
20.2% | -36.9% | 0.73 | 0.55 | 8.7x | 140 | 52% |
| Supertrend period=24, mult=1.6 |
19.7% | -51.1% | 0.72 | 0.39 | 8.3x | 200 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=29, mult=1.7 |
19.7% | -42.5% | 0.72 | 0.46 | 8.3x | 74 | 42% |
| MACD fast=16, slow=22, signal=11 |
18.3% | -49.6% | 0.68 | 0.37 | 7.2x | 170 | 51% |
| Buy and hold | 21.9% | -71.8% | 0.66 | 0.30 | 10.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 63-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 63-day average falls below the 131-day average