Trend-Following Backtester · Guide · backtest 한국어
equity · TW
United Integrated Services Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of United Integrated Services Co., Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.7%, MDD -39.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.7%, drawdown -71.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.7%, MDD -39.5%, Sharpe 0.77, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 18.7%, MDD -39.5%, exposure 59%).
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=36, slow=250 |
18.7% | -39.5% | 0.77 | 0.47 | 96.0x | 27 | 59% |
| EMA 크로스오버 fast=70, slow=163 |
17.6% | -40.7% | 0.74 | 0.43 | 74.3x | 23 | 60% |
| MACD fast=15, slow=90, signal=28 |
15.7% | -41.1% | 0.71 | 0.38 | 48.5x | 198 | 52% |
| Supertrend period=8, mult=4 |
15.8% | -50.5% | 0.69 | 0.31 | 49.4x | 112 | 54% |
| 볼린저 밴드 돌파 n=43, k=1.1 |
14.7% | -43.0% | 0.68 | 0.34 | 38.1x | 176 | 46% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=13, mult=0.8 |
13.9% | -44.7% | 0.65 | 0.31 | 31.8x | 250 | 50% |
| Donchian 채널 돌파 entryN=116, exitN=24 |
10.7% | -47.2% | 0.61 | 0.23 | 15.0x | 58 | 30% |
| ROC 모멘텀 n=110, threshold=-0.02 |
12.8% | -53.9% | 0.58 | 0.24 | 24.5x | 217 | 63% |
| ADX / DI 방향성 period=18, threshold=11 |
11.4% | -46.9% | 0.54 | 0.24 | 17.7x | 372 | 58% |
| Parabolic SAR step=0.01, maxStep=0.3 |
9.8% | -58.3% | 0.50 | 0.17 | 12.0x | 310 | 52% |
| Buy and hold | 14.7% | -71.9% | 0.57 | 0.20 | 38.0x | 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 36-day average price crosses above the 250-day average
- Sell — Sell (to cash) when the 36-day average falls below the 250-day average