Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Realtek Semiconductor Corp backtest
10 trend-following strategies were compared on the full daily history of Realtek Semiconductor Corp. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.7%, MDD -45.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.5%, drawdown -85.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.7%, MDD -45.0%, Sharpe 0.50, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 10.7%, MDD -45.0%, exposure 55%).
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=15, slow=95 |
10.7% | -45.0% | 0.50 | 0.24 | 15.0x | 81 | 55% |
| SMA 크로스오버 fast=16, slow=117 |
9.3% | -51.7% | 0.46 | 0.18 | 10.5x | 71 | 54% |
| Donchian 채널 돌파 entryN=45, exitN=59 |
9.3% | -61.0% | 0.45 | 0.15 | 10.7x | 53 | 56% |
| ROC 모멘텀 n=104, threshold=0.01 |
8.2% | -57.6% | 0.42 | 0.14 | 8.1x | 243 | 55% |
| Parabolic SAR step=0.01, maxStep=0.08 |
7.7% | -73.2% | 0.40 | 0.11 | 7.2x | 304 | 51% |
| Supertrend period=14, mult=3 |
7.6% | -61.6% | 0.40 | 0.12 | 6.9x | 182 | 52% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=1.1 |
6.2% | -53.4% | 0.36 | 0.12 | 5.0x | 228 | 44% |
| ADX / DI 방향성 period=19, threshold=19 |
5.8% | -44.0% | 0.35 | 0.13 | 4.5x | 199 | 33% |
| 볼린저 밴드 돌파 n=33, k=2.3 |
5.0% | -42.3% | 0.33 | 0.12 | 3.6x | 134 | 29% |
| MACD fast=12, slow=25, signal=18 |
3.6% | -82.4% | 0.27 | 0.04 | 2.5x | 386 | 52% |
| Buy and hold | 9.5% | -85.4% | 0.43 | 0.11 | 11.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 15-day EMA crosses above the 95-day EMA
- Sell — Sell when the 15-day EMA falls below the 95-day EMA