Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Accton Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Accton Technology Corp.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.0%, MDD -65.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.6%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -65.8%, Sharpe 0.63, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.7%, MDD -87.4%, exposure 92%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 16.0%, MDD -65.0%, exposure 58%).
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=6, slow=183 |
16.3% | -65.8% | 0.63 | 0.25 | 55.7x | 73 | 58% |
| EMA 크로스오버 fast=7, slow=218 |
16.0% | -65.0% | 0.62 | 0.25 | 52.1x | 67 | 58% |
| Donchian 채널 돌파 entryN=4, exitN=88 |
17.7% | -87.4% | 0.60 | 0.20 | 75.7x | 97 | 92% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
11.9% | -59.4% | 0.53 | 0.20 | 19.6x | 128 | 43% |
| Supertrend period=15, mult=3.5 |
12.3% | -68.9% | 0.52 | 0.18 | 21.8x | 130 | 55% |
| ROC 모멘텀 n=100, threshold=0.03 |
11.2% | -66.5% | 0.50 | 0.17 | 17.0x | 207 | 54% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.7 |
9.7% | -62.6% | 0.46 | 0.16 | 11.7x | 156 | 45% |
| Parabolic SAR step=0.005, maxStep=0.26 |
8.2% | -72.6% | 0.41 | 0.11 | 8.1x | 214 | 52% |
| ADX / DI 방향성 period=19, threshold=15 |
7.4% | -77.1% | 0.39 | 0.10 | 6.7x | 300 | 45% |
| MACD fast=14, slow=36, signal=19 |
5.1% | -77.7% | 0.32 | 0.07 | 3.8x | 314 | 52% |
| Buy and hold | 14.6% | -93.8% | 0.53 | 0.16 | 37.6x | 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 6-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 6-day average falls below the 183-day average