Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Pegatron Corporation backtest
10 trend-following strategies were compared on the full daily history of Pegatron Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.8%, MDD -30.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR -5.3%, drawdown -94.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -30.6%, Sharpe 0.44, 46% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 63.4%p (CAGR 6.8%, MDD -30.6%, exposure 46%).
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=45, slow=99 |
6.8% | -30.6% | 0.44 | 0.22 | 3.2x | 35 | 46% |
| ROC 모멘텀 n=78, threshold=0.07 |
3.0% | -52.4% | 0.26 | 0.06 | 1.7x | 150 | 33% |
| Donchian 채널 돌파 entryN=78, exitN=79 |
-5.4% | -91.3% | 0.18 | -0.06 | 0.4x | 23 | 52% |
| EMA 크로스오버 fast=46, slow=157 |
-8.8% | -94.6% | 0.08 | -0.09 | 0.2x | 29 | 50% |
| Supertrend period=19, mult=4.7 |
-8.6% | -94.8% | 0.08 | -0.09 | 0.2x | 58 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-9.2% | -95.1% | 0.07 | -0.10 | 0.2x | 242 | 57% |
| MACD fast=13, slow=57, signal=9 |
-3.7% | -81.0% | -0.00 | -0.05 | 0.5x | 268 | 54% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=1.4 |
-11.8% | -94.3% | -0.03 | -0.12 | 0.1x | 128 | 43% |
| 볼린저 밴드 돌파 n=53, k=2.3 |
-10.5% | -93.1% | -0.05 | -0.11 | 0.1x | 50 | 32% |
| ADX / DI 방향성 period=32, threshold=8 |
-11.9% | -92.7% | -0.08 | -0.13 | 0.1x | 159 | 49% |
| Buy and hold | -5.3% | -94.1% | 0.21 | -0.06 | 0.4x | 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 45-day average price crosses above the 99-day average
- Sell — Sell (to cash) when the 45-day average falls below the 99-day average