Trend-Following Backtester · Guide · backtest 한국어
equity · TW
MiTAC Holdings Corp. backtest
10 trend-following strategies were compared on the full daily history of MiTAC Holdings Corp.. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.2%, MDD -48.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.2%, drawdown -81.2%).
Sharpe leader (same as main): MACD — CAGR 6.9%, MDD -71.2%, Sharpe 0.38, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 10.0%p (CAGR 5.2%, MDD -48.4%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=58, signal=12 |
6.9% | -71.2% | 0.38 | 0.10 | 6.0x | 360 | 54% |
| SMA 크로스오버 fast=8, slow=73 |
6.8% | -55.2% | 0.38 | 0.12 | 5.7x | 131 | 51% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=18, mult=4 |
4.3% | -33.4% | 0.38 | 0.13 | 3.0x | 40 | 7% |
| Supertrend period=15, mult=3.9 |
6.5% | -68.1% | 0.37 | 0.10 | 5.4x | 119 | 53% |
| Donchian 채널 돌파 entryN=80, exitN=14 |
5.2% | -55.8% | 0.36 | 0.09 | 3.8x | 78 | 23% |
| Parabolic SAR step=0.015, maxStep=0.08 |
6.1% | -62.2% | 0.36 | 0.10 | 4.9x | 333 | 55% |
| ADX / DI 방향성 period=33, threshold=13 |
5.2% | -48.4% | 0.33 | 0.11 | 3.9x | 158 | 40% |
| 볼린저 밴드 돌파 n=47, k=1.1 |
4.8% | -62.5% | 0.32 | 0.08 | 3.5x | 161 | 38% |
| EMA 크로스오버 fast=54, slow=68 |
3.9% | -57.2% | 0.28 | 0.07 | 2.8x | 61 | 50% |
| ROC 모멘텀 n=79, threshold=-0.07 |
3.6% | -73.0% | 0.27 | 0.05 | 2.5x | 263 | 71% |
| Buy and hold | 5.2% | -81.2% | 0.33 | 0.06 | 3.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/58) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line