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Fuh Hwa China 5G Communication ETF backtest

10 trend-following strategies were compared on the full daily history of Fuh Hwa China 5G Communication ETF. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 30.0%, MDD -20.5%).

Data 2020-07-14 ~ 2026-07-31daily bars 1,472 (6.0 years)Costs 0.5%Venue TPEXMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 14.7%, drawdown -47.7%).

Sharpe leader (same as main): Supertrend — CAGR 30.0%, MDD -20.5%, Sharpe 1.26, 53% exposure.

Return/drawdown alternative: Supertrend — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 30.0%, MDD -20.5%, exposure 53%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=11, mult=3.3
30.0%-20.5%1.261.464.9x3853%
MACD
fast=20, slow=43, signal=20
25.6%-24.5%1.181.044.0x5051%
Parabolic SAR
step=0.01, maxStep=0.06
22.3%-25.4%1.030.883.4x6249%
EMA 크로스오버
fast=7, slow=26
22.2%-22.2%0.981.003.4x5253%
Donchian 채널 돌파
entryN=12, exitN=11
19.7%-26.2%0.920.753.0x5452%
볼린저 밴드 돌파
n=28, k=1.3
18.5%-22.2%0.920.842.8x5642%
SMA 크로스오버
fast=1, slow=94
21.1%-28.6%0.910.743.2x3252%
ADX / DI 방향성
period=13, threshold=21
17.2%-22.8%0.900.762.6x6436%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=23, mult=1.6
18.8%-22.3%0.890.842.8x3642%
ROC 모멘텀
n=29, threshold=-0.02
19.3%-30.2%0.840.642.9x8064%
Buy and hold14.7%-47.7%0.600.312.3x1100%
1x 2021 2022 2023 2024 2025 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -12% -24% -36% -48% 2021 2022 2023 2024 2025 2026 Buy and holdSupertrend
Supertrend maximum drawdown -20.5% (2024-10-07 → 2025-06-10), recovered after 295 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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