Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Winbond Electronics Corp. backtest
10 trend-following strategies were compared on the full daily history of Winbond Electronics Corp.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.6%, MDD -28.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.6%, drawdown -97.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.6%, MDD -28.0%, Sharpe 0.67, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.5%, MDD -63.2%, exposure 37%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 69.6%p (CAGR 11.6%, MDD -28.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=3.5 |
11.6% | -28.0% | 0.67 | 0.42 | 18.7x | 30 | 11% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=19, mult=4 |
12.6% | -36.6% | 0.63 | 0.34 | 23.6x | 60 | 17% |
| Donchian 채널 돌파 entryN=36, exitN=22 |
14.5% | -63.2% | 0.60 | 0.23 | 36.6x | 102 | 37% |
| Supertrend period=36, mult=4.6 |
13.9% | -60.5% | 0.57 | 0.23 | 31.5x | 96 | 44% |
| ADX / DI 방향성 period=21, threshold=16 |
12.2% | -51.6% | 0.54 | 0.24 | 21.5x | 230 | 37% |
| EMA 크로스오버 fast=8, slow=38 |
12.3% | -61.3% | 0.52 | 0.20 | 22.0x | 212 | 48% |
| SMA 크로스오버 fast=10, slow=74 |
11.2% | -65.0% | 0.48 | 0.17 | 16.7x | 119 | 47% |
| ROC 모멘텀 n=32, threshold=0.1 |
10.0% | -64.5% | 0.48 | 0.15 | 12.5x | 348 | 26% |
| MACD fast=10, slow=55, signal=25 |
10.5% | -91.2% | 0.47 | 0.12 | 14.4x | 308 | 50% |
| Parabolic SAR step=0.04, maxStep=0.14 |
8.0% | -74.2% | 0.40 | 0.11 | 7.7x | 670 | 50% |
| Buy and hold | 3.6% | -97.7% | 0.31 | 0.04 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 44-day middle average