Trend-Following Backtester · Guide · backtest 한국어
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SinoPac Taiwan Target Exposure ESG ETF backtest
10 trend-following strategies were compared on the full daily history of SinoPac Taiwan Target Exposure ESG ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.1%, MDD -19.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.9%, drawdown -32.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.6%, MDD -26.9%, Sharpe 1.06, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 5.9%p (CAGR 14.1%, MDD -19.5%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=36, slow=138 |
18.6% | -26.9% | 1.06 | 0.69 | 2.5x | 7 | 58% |
| Supertrend period=21, mult=2.9 |
14.1% | -19.5% | 0.96 | 0.72 | 2.0x | 49 | 62% |
| Donchian 채널 돌파 entryN=40, exitN=69 |
17.1% | -26.9% | 0.95 | 0.64 | 2.4x | 7 | 74% |
| EMA 크로스오버 fast=56, slow=78 |
16.5% | -26.9% | 0.95 | 0.61 | 2.3x | 7 | 64% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=3.1 |
11.5% | -11.6% | 0.94 | 1.00 | 1.8x | 22 | 33% |
| ROC 모멘텀 n=79, threshold=0.1 |
13.8% | -26.9% | 0.92 | 0.51 | 2.0x | 21 | 30% |
| Parabolic SAR step=0.02, maxStep=0.12 |
11.6% | -26.6% | 0.85 | 0.44 | 1.8x | 97 | 59% |
| MACD fast=8, slow=57, signal=15 |
9.9% | -20.5% | 0.80 | 0.49 | 1.7x | 71 | 50% |
| ADX / DI 방향성 period=33, threshold=11 |
9.6% | -18.8% | 0.74 | 0.51 | 1.6x | 40 | 37% |
| 볼린저 밴드 돌파 n=31, k=1.3 |
8.6% | -26.0% | 0.69 | 0.33 | 1.6x | 44 | 45% |
| Buy and hold | 15.9% | -32.8% | 0.78 | 0.48 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 36-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 36-day average falls below the 138-day average