Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Far Eastone Telecommunications Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Far Eastone Telecommunications 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 3.4%, drawdown -42.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.3%, MDD -36.9%, Sharpe 0.23, 59% 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=31, slow=206 |
2.3% | -36.9% | 0.23 | 0.06 | 1.6x | 31 | 59% |
| Donchian 채널 돌파 entryN=51, exitN=73 |
2.2% | -39.0% | 0.22 | 0.06 | 1.6x | 37 | 68% |
| ROC 모멘텀 n=76, threshold=-0.08 |
1.9% | -44.8% | 0.20 | 0.04 | 1.5x | 119 | 87% |
| EMA 크로스오버 fast=54, slow=103 |
1.7% | -33.9% | 0.19 | 0.05 | 1.4x | 37 | 60% |
| ADX / DI 방향성 period=19, threshold=35 |
0.2% | -13.2% | 0.08 | 0.02 | 1.0x | 18 | 4% |
| Supertrend period=27, mult=4.8 |
-1.5% | -50.9% | -0.03 | -0.03 | 0.7x | 62 | 54% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
-0.1% | -3.3% | -0.15 | -0.03 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=3.4 |
-1.5% | -41.6% | -0.17 | -0.04 | 0.7x | 48 | 13% |
| MACD fast=28, slow=76, signal=18 |
-4.6% | -67.2% | -0.27 | -0.07 | 0.4x | 178 | 53% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.7% | -66.0% | -0.28 | -0.07 | 0.4x | 160 | 48% |
| Buy and hold | 3.4% | -42.5% | 0.27 | 0.08 | 2.0x | 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 31-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 31-day average falls below the 206-day average