Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Wistron Corporation backtest

10 trend-following strategies were compared on the full daily history of Wistron Corporation. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.9%, MDD -45.9%).

Data 2003-08-19 ~ 2026-07-31daily bars 5,663 (22.9 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 11.4%, drawdown -76.3%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.6%, MDD -39.9%, Sharpe 0.70, 9% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 15.1%, MDD -46.6%, exposure 52%.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 36.3%p (CAGR 11.9%, MDD -45.9%, exposure 52%).

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
ADX / DI 방향성
period=31, threshold=25
9.6%-39.9%0.700.248.2x289%
볼린저 밴드 돌파
n=18, k=3.4
6.3%-17.2%0.700.374.1x144%
SMA 크로스오버
fast=36, slow=90
15.1%-46.6%0.650.3225.3x5752%
Donchian 채널 돌파
entryN=70, exitN=46
13.7%-51.3%0.630.2719.2x4542%
Supertrend
period=18, mult=3.2
12.2%-51.3%0.580.2414.1x14950%
EMA 크로스오버
fast=34, slow=124
11.9%-45.9%0.550.2613.2x4552%
ROC 모멘텀
n=86, threshold=0.08
10.6%-66.3%0.530.1610.1x19538%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=9, mult=2.8
7.7%-52.2%0.450.155.5x8930%
Parabolic SAR
step=0.005, maxStep=0.28
8.5%-53.4%0.450.166.5x17251%
MACD
fast=15, slow=36, signal=16
3.9%-57.9%0.280.072.4x28552%
Buy and hold11.4%-76.3%0.480.1511.8x1100%
1x 10x 2004 2007 2010 2013 2016 2019 2022 2025 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -38% -57% -76% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -39.9% (2014-09-01 → 2023-02-10), recovered after 3,182 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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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