Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Formosa Plastics Corporation backtest
10 trend-following strategies were compared on the full daily history of Formosa Plastics Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -39.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.2%, drawdown -73.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -39.6%, Sharpe 0.39, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 6.0%, MDD -39.6%, exposure 56%).
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=28, slow=311 |
6.0% | -39.6% | 0.39 | 0.15 | 4.7x | 25 | 56% |
| EMA 크로스오버 fast=55, slow=187 |
5.8% | -44.1% | 0.38 | 0.13 | 4.5x | 23 | 57% |
| Donchian 채널 돌파 entryN=47, exitN=43 |
3.2% | -51.3% | 0.26 | 0.06 | 2.3x | 63 | 53% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=5, mult=4 |
1.8% | -25.5% | 0.25 | 0.07 | 1.6x | 32 | 11% |
| ADX / DI 방향성 period=38, threshold=31 |
0.8% | -10.6% | 0.24 | 0.08 | 1.2x | 2 | 1% |
| ROC 모멘텀 n=135, threshold=0.04 |
0.6% | -78.1% | 0.13 | 0.01 | 1.2x | 265 | 44% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
0.4% | -17.4% | 0.09 | 0.02 | 1.1x | 18 | 4% |
| Supertrend period=20, mult=4.7 |
-0.7% | -75.3% | 0.07 | -0.01 | 0.8x | 91 | 57% |
| MACD fast=20, slow=51, signal=25 |
-6.4% | -88.5% | -0.22 | -0.07 | 0.2x | 258 | 52% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-6.4% | -87.4% | -0.23 | -0.07 | 0.2x | 509 | 52% |
| Buy and hold | 3.2% | -73.3% | 0.26 | 0.04 | 2.3x | 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 28-day average price crosses above the 311-day average
- Sell — Sell (to cash) when the 28-day average falls below the 311-day average