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 45.9%, drawdown -40.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.9%, MDD -20.5%, Sharpe 1.11, 84% exposure.
CAGR reference leader: Parabolic SAR — CAGR 33.3%, MDD -29.3%, exposure 69%.
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=32, exitN=89 |
20.9% | -20.5% | 1.11 | 1.02 | 7.1x | 11 | 84% |
| SMA 크로스오버 fast=32, slow=102 |
17.8% | -22.2% | 1.02 | 0.80 | 5.4x | 23 | 68% |
| EMA 크로스오버 fast=16, slow=128 |
16.8% | -29.7% | 0.96 | 0.56 | 4.9x | 21 | 72% |
| ROC 모멘텀 n=99, threshold=-0.07 |
17.1% | -25.4% | 0.93 | 0.67 | 5.1x | 39 | 81% |
| Supertrend period=37, mult=5 |
13.5% | -31.8% | 0.88 | 0.43 | 3.7x | 61 | 68% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=2.2 |
8.1% | -25.6% | 0.64 | 0.32 | 2.2x | 83 | 53% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
1.5% | -4.9% | 0.63 | 0.31 | 1.2x | 8 | 3% |
| MACD fast=14, slow=37, signal=23 |
7.7% | -31.2% | 0.61 | 0.25 | 2.1x | 115 | 51% |
| ADX / DI 방향성 period=16, threshold=18 |
5.0% | -24.4% | 0.46 | 0.21 | 1.7x | 112 | 43% |
| Parabolic SAR step=0.005, maxStep=0.02 |
33.3% | -29.3% | 0.36 | 1.14 | 19.1x | 45 | 69% |
| Buy and hold | 45.9% | -40.3% | 0.41 | 1.14 | 48.6x | 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 32 days
- Sell — Sell when price breaks below the lowest low of the last 89 days