Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Ta Liang Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ta Liang Technology Co., Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.8%, MDD -39.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 18.0%, drawdown -84.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.2%, MDD -54.6%, Sharpe 0.69, 51% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 24.3%, MDD -55.1%, exposure 69%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 18.8%, MDD -39.9%, exposure 45%).
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=11, slow=197 |
19.2% | -54.6% | 0.69 | 0.35 | 26.7x | 25 | 51% |
| EMA 크로스오버 fast=23, slow=35 |
16.5% | -45.9% | 0.64 | 0.36 | 17.2x | 70 | 58% |
| MACD fast=23, slow=42, signal=24 |
14.1% | -51.3% | 0.60 | 0.28 | 11.8x | 115 | 40% |
| ROC 모멘텀 n=143, threshold=-0.03 |
24.3% | -55.1% | 0.58 | 0.44 | 58.1x | 67 | 69% |
| ADX / DI 방향성 period=15, threshold=7 |
23.6% | -48.0% | 0.57 | 0.49 | 52.6x | 221 | 68% |
| Donchian 채널 돌파 entryN=50, exitN=48 |
23.5% | -56.2% | 0.57 | 0.42 | 51.5x | 34 | 65% |
| Supertrend period=21, mult=3.4 |
22.1% | -55.4% | 0.55 | 0.40 | 41.8x | 87 | 60% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=1.1 |
21.7% | -47.6% | 0.55 | 0.46 | 39.3x | 107 | 58% |
| Parabolic SAR step=0.01, maxStep=0.14 |
20.0% | -69.6% | 0.52 | 0.29 | 29.9x | 159 | 61% |
| 볼린저 밴드 돌파 n=45, k=1.9 |
18.8% | -39.9% | 0.50 | 0.47 | 25.1x | 70 | 45% |
| Buy and hold | 18.0% | -84.2% | 0.51 | 0.21 | 21.9x | 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 11-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 11-day average falls below the 197-day average