Trend-Following Backtester · Guide · backtest 한국어
equity · TW
MediaTek Inc backtest
10 trend-following strategies were compared on the full daily history of MediaTek Inc. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.5%, MDD -36.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.2%, drawdown -71.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.7%, MDD -47.9%, Sharpe 0.70, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 15.5%, MDD -36.1%, exposure 56%).
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=59, slow=69 |
18.7% | -47.9% | 0.70 | 0.39 | 74.0x | 47 | 58% |
| Donchian 채널 돌파 entryN=13, exitN=20 |
16.6% | -53.2% | 0.66 | 0.31 | 46.8x | 145 | 62% |
| SMA 크로스오버 fast=15, slow=202 |
15.5% | -36.1% | 0.62 | 0.43 | 37.5x | 45 | 56% |
| Supertrend period=9, mult=3.8 |
14.0% | -64.4% | 0.59 | 0.22 | 27.0x | 123 | 57% |
| Parabolic SAR step=0.005, maxStep=0.26 |
12.4% | -54.9% | 0.55 | 0.23 | 18.8x | 189 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=3.3 |
9.2% | -52.3% | 0.50 | 0.18 | 9.1x | 76 | 32% |
| ROC 모멘텀 n=124, threshold=0 |
10.6% | -48.1% | 0.48 | 0.22 | 12.4x | 217 | 56% |
| ADX / DI 방향성 period=14, threshold=36 |
5.1% | -27.5% | 0.44 | 0.19 | 3.5x | 56 | 8% |
| 볼린저 밴드 돌파 n=22, k=2.3 |
6.3% | -66.8% | 0.40 | 0.09 | 4.6x | 162 | 26% |
| MACD fast=23, slow=51, signal=18 |
6.1% | -78.6% | 0.35 | 0.08 | 4.5x | 262 | 51% |
| Buy and hold | 17.2% | -71.4% | 0.59 | 0.24 | 53.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 69-day EMA
- Sell — Sell when the 59-day EMA falls below the 69-day EMA