Trend-Following Backtester · Guide · backtest 한국어
etf · HK
iShares Core MSCI Taiwan ETF HKD Counter backtest
10 trend-following strategies were compared on the full daily history of iShares Core MSCI Taiwan ETF HKD Counter. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 45.0%, drawdown -40.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.0%, MDD -26.5%, Sharpe 1.08, 91% exposure.
CAGR reference leader: Parabolic SAR — CAGR 24.5%, MDD -42.6%, exposure 58%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=13, exitN=96 |
21.0% | -26.5% | 1.08 | 0.79 | 6.9x | 17 | 91% |
| SMA 크로스오버 fast=36, slow=99 |
15.7% | -25.4% | 0.93 | 0.62 | 4.4x | 21 | 68% |
| EMA 크로스오버 fast=16, slow=129 |
15.9% | -27.8% | 0.92 | 0.57 | 4.4x | 21 | 72% |
| ROC 모멘텀 n=94, threshold=-0.08 |
14.7% | -26.6% | 0.83 | 0.55 | 4.0x | 33 | 83% |
| Supertrend period=19, mult=4.9 |
9.6% | -36.4% | 0.67 | 0.26 | 2.5x | 70 | 65% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2.2 |
7.1% | -24.5% | 0.58 | 0.29 | 2.0x | 86 | 50% |
| MACD fast=16, slow=44, signal=17 |
7.0% | -31.9% | 0.56 | 0.22 | 2.0x | 116 | 51% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
6.0% | -19.3% | 0.52 | 0.31 | 1.8x | 38 | 40% |
| ADX / DI 방향성 period=16, threshold=18 |
5.1% | -24.4% | 0.46 | 0.21 | 1.7x | 112 | 44% |
| Parabolic SAR step=0.04, maxStep=0.26 |
24.5% | -42.6% | 0.33 | 0.58 | 9.1x | 260 | 58% |
| Buy and hold | 45.0% | -40.3% | 0.41 | 1.11 | 42.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 13 days
- Sell — Sell when price breaks below the lowest low of the last 96 days