Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Far Eastern New Century Corporation backtest
10 trend-following strategies were compared on the full daily history of Far Eastern New Century Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.8%, MDD -62.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.1%, drawdown -85.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.8%, MDD -63.4%, Sharpe 0.24, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 2.8%, MDD -62.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=35, slow=113 |
2.8% | -63.4% | 0.24 | 0.04 | 2.1x | 53 | 52% |
| SMA 크로스오버 fast=48, slow=145 |
2.8% | -62.8% | 0.24 | 0.04 | 2.1x | 53 | 52% |
| Donchian 채널 돌파 entryN=24, exitN=59 |
-0.3% | -76.0% | 0.14 | -0.00 | 0.9x | 87 | 70% |
| Supertrend period=19, mult=4.5 |
-2.7% | -72.5% | 0.03 | -0.04 | 0.5x | 103 | 55% |
| ROC 모멘텀 n=112, threshold=-0.04 |
-3.3% | -88.5% | 0.01 | -0.04 | 0.4x | 249 | 62% |
| ADX / DI 방향성 period=27, threshold=17 |
-2.6% | -70.6% | -0.06 | -0.04 | 0.5x | 132 | 21% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=16, mult=4 |
-2.6% | -57.6% | -0.06 | -0.05 | 0.5x | 54 | 17% |
| MACD fast=19, slow=43, signal=20 |
-6.1% | -83.7% | -0.12 | -0.07 | 0.2x | 272 | 52% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
-5.6% | -91.3% | -0.13 | -0.06 | 0.2x | 200 | 42% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-7.4% | -87.0% | -0.19 | -0.09 | 0.1x | 218 | 51% |
| Buy and hold | 0.1% | -85.8% | 0.18 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 113-day EMA
- Sell — Sell when the 35-day EMA falls below the 113-day EMA