Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Advantech Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Advantech Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -48.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.0%, drawdown -68.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -48.8%, Sharpe 0.61, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 12.4%, MDD -48.8%, exposure 62%).
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=53, slow=218 |
12.4% | -48.8% | 0.61 | 0.25 | 22.5x | 31 | 62% |
| EMA 크로스오버 fast=49, slow=247 |
11.2% | -49.9% | 0.56 | 0.22 | 17.0x | 23 | 63% |
| Donchian 채널 돌파 entryN=101, exitN=67 |
8.0% | -48.7% | 0.46 | 0.16 | 7.8x | 33 | 54% |
| ROC 모멘텀 n=128, threshold=-0.11 |
6.5% | -65.3% | 0.37 | 0.10 | 5.3x | 141 | 83% |
| Supertrend period=21, mult=4.9 |
4.7% | -59.3% | 0.31 | 0.08 | 3.4x | 77 | 56% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=12, mult=1.7 |
3.0% | -56.0% | 0.25 | 0.05 | 2.2x | 119 | 49% |
| ADX / DI 방향성 period=34, threshold=16 |
0.7% | -64.6% | 0.13 | 0.01 | 1.2x | 107 | 27% |
| 볼린저 밴드 돌파 n=37, k=1.7 |
0.3% | -57.5% | 0.11 | 0.00 | 1.1x | 185 | 38% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.7% | -69.2% | 0.05 | -0.02 | 0.6x | 201 | 55% |
| MACD fast=17, slow=29, signal=12 |
-4.9% | -88.0% | -0.10 | -0.06 | 0.3x | 392 | 52% |
| Buy and hold | 11.0% | -68.5% | 0.48 | 0.16 | 16.1x | 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 53-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 53-day average falls below the 218-day average