Trend-Following Backtester · Guide · backtest 한국어
equity · TW
VisEra Technologies Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of VisEra Technologies Co., Ltd.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.6%, MDD -17.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -72.4%).
Sharpe leader (same as main): MACD — CAGR 29.2%, MDD -28.7%, Sharpe 0.97, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.2%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 13.6%, MDD -17.6%, exposure 9%).
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=18, slow=40, signal=6 |
29.2% | -28.7% | 0.97 | 1.02 | 4.0x | 73 | 49% |
| ADX / DI 방향성 period=6, threshold=38 |
20.2% | -28.7% | 0.88 | 0.70 | 2.7x | 54 | 23% |
| Supertrend period=26, mult=2.4 |
24.1% | -31.3% | 0.87 | 0.77 | 3.2x | 40 | 41% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
13.6% | -17.6% | 0.83 | 0.78 | 2.0x | 14 | 9% |
| Donchian 채널 돌파 entryN=23, exitN=4 |
17.7% | -20.4% | 0.81 | 0.87 | 2.4x | 38 | 19% |
| Parabolic SAR step=0.02, maxStep=0.28 |
17.9% | -31.1% | 0.68 | 0.58 | 2.4x | 97 | 44% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=22, mult=1 |
12.0% | -30.2% | 0.54 | 0.40 | 1.8x | 44 | 38% |
| EMA 크로스오버 fast=5, slow=60 |
9.4% | -36.2% | 0.44 | 0.26 | 1.6x | 32 | 46% |
| SMA 크로스오버 fast=44, slow=63 |
5.6% | -44.5% | 0.33 | 0.13 | 1.3x | 22 | 48% |
| ROC 모멘텀 n=14, threshold=0.05 |
5.4% | -34.0% | 0.33 | 0.16 | 1.3x | 122 | 30% |
| Buy and hold | -1.0% | -72.4% | 0.22 | -0.01 | 0.9x | 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 (18/40) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line