Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Mobile Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Mobile Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -34.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.5%, MDD -47.0%, Sharpe 0.24, 61% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=25, slow=275 |
2.5% | -47.0% | 0.24 | 0.05 | 1.8x | 37 | 61% |
| Donchian 채널 돌파 entryN=46, exitN=72 |
2.5% | -34.0% | 0.24 | 0.07 | 1.8x | 46 | 66% |
| EMA 크로스오버 fast=38, slow=108 |
1.6% | -46.1% | 0.18 | 0.03 | 1.5x | 51 | 60% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-0.7% | -59.7% | 0.05 | -0.01 | 0.8x | 175 | 73% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.1% | -12.2% | 0.03 | 0.00 | 1.0x | 10 | 2% |
| Supertrend period=17, mult=4.8 |
-1.4% | -56.2% | -0.01 | -0.02 | 0.7x | 68 | 56% |
| ADX / DI 방향성 period=38, threshold=25 |
-0.5% | -14.8% | -0.14 | -0.03 | 0.9x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-5.4% | -80.0% | -0.29 | -0.07 | 0.3x | 166 | 53% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=3.3 |
-2.4% | -50.0% | -0.32 | -0.05 | 0.6x | 44 | 8% |
| MACD fast=17, slow=38, signal=23 |
-6.3% | -81.6% | -0.41 | -0.08 | 0.2x | 277 | 52% |
| Buy and hold | 4.9% | -34.9% | 0.34 | 0.14 | 3.2x | 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 25-day average price crosses above the 275-day average
- Sell — Sell (to cash) when the 25-day average falls below the 275-day average