Trend-Following Backtester · Guide · backtest 한국어
equity · TW
WT Microelectronics Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of WT Microelectronics Co., Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.8%, MDD -37.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.4%, drawdown -75.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.3%, MDD -39.1%, Sharpe 0.68, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 12.8%, MDD -37.8%, exposure 49%).
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=29, slow=248 |
15.3% | -39.1% | 0.68 | 0.39 | 29.9x | 29 | 57% |
| Donchian 채널 돌파 entryN=65, exitN=43 |
12.8% | -37.8% | 0.62 | 0.34 | 18.0x | 46 | 49% |
| EMA 크로스오버 fast=53, slow=126 |
12.4% | -47.3% | 0.57 | 0.26 | 16.3x | 33 | 58% |
| ROC 모멘텀 n=185, threshold=0.06 |
11.3% | -42.7% | 0.56 | 0.27 | 13.0x | 121 | 48% |
| Supertrend period=26, mult=4.6 |
8.3% | -48.6% | 0.45 | 0.17 | 6.8x | 92 | 51% |
| ADX / DI 방향성 period=31, threshold=9 |
5.2% | -60.8% | 0.33 | 0.08 | 3.3x | 270 | 58% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
2.8% | -24.2% | 0.31 | 0.12 | 1.9x | 30 | 7% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=18, mult=2.1 |
3.7% | -59.2% | 0.29 | 0.06 | 2.4x | 144 | 23% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.1% | -65.2% | 0.21 | 0.03 | 1.6x | 172 | 53% |
| MACD fast=16, slow=78, signal=22 |
-1.4% | -65.3% | 0.06 | -0.02 | 0.7x | 250 | 51% |
| Buy and hold | 11.4% | -75.1% | 0.49 | 0.15 | 13.1x | 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 29-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 29-day average falls below the 248-day average