Trend-Following Backtester · Guide · backtest 한국어
equity · TW
SINBON Electronics Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of SINBON Electronics Co., Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -40.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.1%, drawdown -80.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.4%, MDD -40.3%, Sharpe 0.53, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 11.4%, MDD -40.3%, exposure 71%).
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=55, slow=172 |
11.4% | -40.3% | 0.53 | 0.28 | 13.2x | 21 | 71% |
| ROC 모멘텀 n=125, threshold=-0.09 |
10.6% | -51.2% | 0.50 | 0.21 | 11.2x | 121 | 79% |
| SMA 크로스오버 fast=28, slow=113 |
9.8% | -49.2% | 0.49 | 0.20 | 9.3x | 61 | 61% |
| Donchian 채널 돌파 entryN=16, exitN=49 |
8.8% | -62.8% | 0.45 | 0.14 | 7.5x | 75 | 73% |
| 볼린저 밴드 돌파 n=63, k=0.8 |
6.1% | -68.5% | 0.38 | 0.09 | 4.1x | 136 | 52% |
| Supertrend period=10, mult=5 |
6.1% | -57.1% | 0.37 | 0.11 | 4.1x | 65 | 58% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=1.8 |
5.7% | -46.1% | 0.37 | 0.12 | 3.7x | 124 | 45% |
| ADX / DI 방향성 period=25, threshold=17 |
4.0% | -59.3% | 0.30 | 0.07 | 2.6x | 160 | 41% |
| MACD fast=17, slow=57, signal=19 |
3.7% | -65.4% | 0.27 | 0.06 | 2.4x | 234 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.6% | -66.2% | 0.23 | 0.04 | 1.8x | 168 | 57% |
| Buy and hold | 11.1% | -80.9% | 0.48 | 0.14 | 12.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 172-day EMA
- Sell — Sell when the 55-day EMA falls below the 172-day EMA