Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Formosa Sumco Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Formosa Sumco Technology Corporation. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -41.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.8%, drawdown -85.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 18.2%, MDD -55.0%, Sharpe 0.66, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 8.8%, MDD -41.5%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.16 |
18.2% | -55.0% | 0.66 | 0.33 | 23.1x | 215 | 46% |
| Donchian 채널 돌파 entryN=35, exitN=50 |
12.0% | -61.9% | 0.49 | 0.19 | 8.3x | 43 | 59% |
| 볼린저 밴드 돌파 n=23, k=2.8 |
8.8% | -41.5% | 0.47 | 0.21 | 4.9x | 86 | 18% |
| MACD fast=8, slow=49, signal=17 |
10.7% | -55.4% | 0.47 | 0.19 | 6.7x | 251 | 50% |
| Supertrend period=16, mult=1.9 |
10.0% | -51.1% | 0.46 | 0.20 | 6.0x | 247 | 41% |
| ROC 모멘텀 n=63, threshold=-0.04 |
10.3% | -68.7% | 0.45 | 0.15 | 6.3x | 213 | 59% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=1.8 |
9.2% | -61.6% | 0.45 | 0.15 | 5.2x | 122 | 26% |
| ADX / DI 방향성 period=36, threshold=25 |
5.3% | -49.3% | 0.36 | 0.11 | 2.7x | 10 | 6% |
| SMA 크로스오버 fast=44, slow=216 |
5.3% | -81.0% | 0.33 | 0.07 | 2.6x | 27 | 48% |
| EMA 크로스오버 fast=56, slow=134 |
5.2% | -73.8% | 0.32 | 0.07 | 2.6x | 25 | 44% |
| Buy and hold | 0.8% | -85.0% | 0.26 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots