Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Asustek Computer Inc. backtest
10 trend-following strategies were compared on the full daily history of Asustek Computer Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.4%, MDD -47.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.0%, drawdown -75.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -47.7%, Sharpe 0.41, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 7.4%, MDD -47.7%, 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=45, slow=51 |
7.4% | -47.7% | 0.41 | 0.15 | 6.6x | 187 | 53% |
| Donchian 채널 돌파 entryN=76, exitN=74 |
7.1% | -58.5% | 0.40 | 0.12 | 6.2x | 41 | 56% |
| EMA 크로스오버 fast=40, slow=78 |
5.2% | -62.9% | 0.33 | 0.08 | 3.9x | 65 | 55% |
| Supertrend period=14, mult=3.4 |
4.6% | -59.5% | 0.31 | 0.08 | 3.4x | 161 | 50% |
| 볼린저 밴드 돌파 n=54, k=1 |
3.6% | -54.7% | 0.27 | 0.07 | 2.6x | 171 | 44% |
| ROC 모멘텀 n=41, threshold=-0.03 |
2.5% | -74.8% | 0.22 | 0.03 | 1.9x | 407 | 63% |
| ADX / DI 방향성 period=36, threshold=27 |
1.4% | -17.1% | 0.20 | 0.08 | 1.4x | 10 | 3% |
| Parabolic SAR step=0.01, maxStep=0.22 |
1.2% | -62.2% | 0.17 | 0.02 | 1.4x | 308 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=1.3 |
1.1% | -63.8% | 0.16 | 0.02 | 1.3x | 211 | 44% |
| MACD fast=12, slow=92, signal=40 |
0.2% | -78.3% | 0.13 | 0.00 | 1.1x | 221 | 52% |
| Buy and hold | 3.0% | -75.5% | 0.27 | 0.04 | 2.2x | 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 45-day average price crosses above the 51-day average
- Sell — Sell (to cash) when the 45-day average falls below the 51-day average