Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Unimicron Technology Corp. backtest

10 trend-following strategies were compared on the full daily history of Unimicron Technology Corp.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 18.3%, MDD -55.9%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,608 (26.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 16.5%, drawdown -84.9%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.3%, MDD -55.9%, Sharpe 0.68, 39% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 18.3%, MDD -55.9%, exposure 39%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=79, threshold=0.1
18.3%-55.9%0.680.3387.2x22339%
EMA 크로스오버
fast=9, slow=53
17.4%-64.4%0.630.2771.2x13456%
Donchian 채널 돌파
entryN=37, exitN=43
16.6%-71.6%0.610.2359.4x6461%
SMA 크로스오버
fast=36, slow=50
16.1%-78.2%0.610.2152.8x14852%
Supertrend
period=14, mult=3.8
14.2%-74.6%0.560.1934.3x11456%
ADX / DI 방향성
period=51, threshold=12
13.4%-60.4%0.560.2228.3x10638%
볼린저 밴드 돌파
n=58, k=0.3
12.5%-67.9%0.520.1823.1x23852%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=19, mult=1.1
10.3%-65.6%0.470.1613.6x20447%
MACD
fast=17, slow=35, signal=15
2.6%-75.5%0.260.032.0x33052%
Parabolic SAR
step=0.025, maxStep=0.12
1.0%-89.9%0.210.011.3x52854%
Buy and hold16.5%-84.9%0.570.1957.7x1100%
1x 10x 100x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -64% -85% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -55.9% (2010-08-02 → 2017-02-22), recovered after 3,328 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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