Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Airoha Technology Corp. backtest
10 trend-following strategies were compared on the full daily history of Airoha Technology Corp.. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.4%, MDD -26.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.7%, drawdown -75.0%).
Sharpe leader (same as main): MACD — CAGR 6.1%, MDD -43.0%, Sharpe 0.38, 27% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.4%, MDD -26.2%, exposure 58%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 32.0%p (CAGR 21.4%, MDD -26.2%, exposure 58%).
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=11, slow=30, signal=19 |
6.1% | -43.0% | 0.38 | 0.14 | 1.9x | 63 | 27% |
| Donchian 채널 돌파 entryN=69, exitN=21 |
21.4% | -26.2% | 0.33 | 0.81 | 8.7x | 14 | 58% |
| Supertrend period=22, mult=4.7 |
18.9% | -47.0% | 0.32 | 0.40 | 6.9x | 18 | 76% |
| EMA 크로스오버 fast=44, slow=135 |
17.1% | -42.3% | 0.31 | 0.41 | 5.8x | 7 | 70% |
| ADX / DI 방향성 period=15, threshold=17 |
16.7% | -44.8% | 0.31 | 0.37 | 5.6x | 70 | 71% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=26, mult=3.7 |
16.2% | -44.7% | 0.30 | 0.36 | 5.4x | 18 | 24% |
| ROC 모멘텀 n=120, threshold=-0.03 |
12.7% | -60.9% | 0.29 | 0.21 | 3.8x | 57 | 71% |
| SMA 크로스오버 fast=49, slow=80 |
1.9% | -47.9% | 0.20 | 0.04 | 1.2x | 26 | 29% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
1.3% | -32.1% | 0.17 | 0.04 | 1.2x | 20 | 7% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-4.4% | -61.3% | -0.09 | -0.07 | 0.6x | 86 | 27% |
| Buy and hold | 10.7% | -75.0% | 0.29 | 0.14 | 3.1x | 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 (11/30) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line