Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Walsin Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Walsin Technology Corporation. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.0%, MDD -53.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.2%, drawdown -94.4%).
Sharpe leader (same as main): MACD — CAGR 13.1%, MDD -77.1%, Sharpe 0.53, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 6.0%, MDD -53.5%, exposure 7%).
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=23, signal=31 |
13.1% | -77.1% | 0.53 | 0.17 | 26.4x | 310 | 50% |
| Donchian 채널 돌파 entryN=13, exitN=35 |
9.3% | -93.7% | 0.46 | 0.10 | 10.7x | 128 | 70% |
| SMA 크로스오버 fast=42, slow=297 |
9.0% | -82.2% | 0.46 | 0.11 | 10.0x | 21 | 53% |
| Supertrend period=13, mult=2.3 |
8.9% | -86.9% | 0.46 | 0.10 | 9.6x | 270 | 50% |
| EMA 크로스오버 fast=70, slow=125 |
8.8% | -82.3% | 0.45 | 0.11 | 9.4x | 31 | 53% |
| Parabolic SAR step=0.02, maxStep=0.14 |
7.1% | -95.1% | 0.41 | 0.07 | 6.2x | 466 | 53% |
| ROC 모멘텀 n=14, threshold=0.2 |
6.0% | -53.5% | 0.40 | 0.11 | 4.8x | 174 | 7% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.6 |
6.1% | -94.6% | 0.39 | 0.06 | 4.8x | 96 | 35% |
| 볼린저 밴드 돌파 n=21, k=1.9 |
5.6% | -89.1% | 0.38 | 0.06 | 4.3x | 228 | 34% |
| ADX / DI 방향성 period=10, threshold=23 |
2.0% | -88.7% | 0.28 | 0.02 | 1.7x | 380 | 39% |
| Buy and hold | 7.2% | -94.4% | 0.42 | 0.08 | 6.4x | 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 (11/23) crosses above its 31-day signal line
- Sell — Sell when the MACD line crosses back below the signal line