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Vanguard International Semiconductor Corp backtest

10 trend-following strategies were compared on the full daily history of Vanguard International Semiconductor Corp. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -40.4%).

Data 2007-12-31 ~ 2026-07-31daily bars 4,552 (18.6 years)Costs 0.5%Venue TPEXMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 10.4%, drawdown -75.4%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.9%, MDD -51.4%, Sharpe 0.58, 80% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 12.4%, MDD -40.4%, exposure 59%).

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
ROC 모멘텀
n=88, threshold=-0.12
14.9%-51.4%0.580.2913.2x10180%
Donchian 채널 돌파
entryN=70, exitN=73
12.4%-40.4%0.530.318.8x2559%
Supertrend
period=29, mult=5
11.3%-45.7%0.510.257.3x5256%
SMA 크로스오버
fast=24, slow=204
10.7%-52.5%0.480.206.6x3162%
EMA 크로스오버
fast=35, slow=191
9.1%-54.4%0.440.175.0x2962%
ADX / DI 방향성
period=39, threshold=11
7.9%-53.0%0.410.154.1x14249%
볼린저 밴드 돌파
n=54, k=1.2
6.3%-57.9%0.360.113.1x11843%
Parabolic SAR
step=0.01, maxStep=0.1
4.7%-51.2%0.310.092.4x21451%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=16, mult=2.4
4.5%-47.7%0.300.092.3x8436%
MACD
fast=21, slow=33, signal=17
4.4%-64.4%0.300.072.2x19849%
Buy and hold10.4%-75.4%0.450.146.2x1100%
1x 10x 2008 2011 2014 2017 2020 2023 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -75% 2008 2011 2014 2017 2020 2023 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -51.4% (2018-08-08 → 2020-03-30), recovered after 1,092 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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