Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Asia Vital Components Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Asia Vital Components Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.2%, MDD -49.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 24.1%, drawdown -76.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.2%, MDD -49.2%, Sharpe 0.79, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 24.2%, MDD -49.2%, exposure 58%).
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=21, slow=262 |
24.2% | -49.2% | 0.79 | 0.49 | 177.5x | 27 | 58% |
| EMA 크로스오버 fast=39, slow=180 |
22.1% | -50.8% | 0.74 | 0.44 | 119.5x | 27 | 59% |
| ROC 모멘텀 n=244, threshold=-0.01 |
21.5% | -55.1% | 0.72 | 0.39 | 104.9x | 111 | 62% |
| Donchian 채널 돌파 entryN=97, exitN=79 |
19.6% | -57.2% | 0.71 | 0.34 | 72.1x | 27 | 49% |
| Supertrend period=23, mult=3.4 |
16.5% | -57.7% | 0.63 | 0.29 | 38.4x | 147 | 52% |
| ADX / DI 방향성 period=26, threshold=18 |
14.0% | -55.0% | 0.61 | 0.25 | 22.9x | 120 | 34% |
| 볼린저 밴드 돌파 n=69, k=3.5 |
10.0% | -40.7% | 0.58 | 0.24 | 9.7x | 24 | 16% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=1.4 |
12.9% | -58.4% | 0.55 | 0.22 | 18.4x | 175 | 46% |
| Parabolic SAR step=0.01, maxStep=0.24 |
12.5% | -56.5% | 0.53 | 0.22 | 16.6x | 291 | 51% |
| MACD fast=15, slow=57, signal=16 |
10.2% | -63.7% | 0.47 | 0.16 | 10.3x | 273 | 49% |
| Buy and hold | 24.1% | -76.1% | 0.71 | 0.32 | 176.3x | 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 21-day average price crosses above the 262-day average
- Sell — Sell (to cash) when the 21-day average falls below the 262-day average