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.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 29.1%, MDD -48.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.4%, drawdown -71.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.1%, MDD -48.6%, Sharpe 0.88, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 29.1%, MDD -48.6%, exposure 53%).
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 |
29.1% | -48.6% | 0.88 | 0.60 | 20.5x | 19 | 53% |
| Donchian 채널 돌파 entryN=86, exitN=81 |
25.9% | -48.6% | 0.83 | 0.53 | 15.3x | 11 | 44% |
| EMA 크로스오버 fast=37, slow=183 |
26.3% | -49.2% | 0.82 | 0.53 | 15.8x | 15 | 52% |
| 볼린저 밴드 돌파 n=58, k=3 |
19.4% | -37.0% | 0.78 | 0.52 | 8.2x | 18 | 22% |
| ROC 모멘텀 n=126, threshold=0.02 |
24.1% | -60.3% | 0.77 | 0.40 | 12.9x | 83 | 53% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=29, mult=1.7 |
19.6% | -42.5% | 0.71 | 0.46 | 8.3x | 74 | 42% |
| ADX / DI 방향성 period=25, threshold=7 |
21.2% | -48.0% | 0.71 | 0.44 | 9.7x | 135 | 58% |
| Parabolic SAR step=0.01, maxStep=0.24 |
19.0% | -36.9% | 0.69 | 0.51 | 7.8x | 141 | 52% |
| Supertrend period=24, mult=1.6 |
18.3% | -51.1% | 0.68 | 0.36 | 7.3x | 201 | 49% |
| MACD fast=16, slow=22, signal=11 |
17.0% | -49.6% | 0.65 | 0.34 | 6.4x | 171 | 51% |
| Buy and hold | 22.4% | -71.8% | 0.67 | 0.31 | 10.9x | 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