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Trend-Following Backtester · Guide · backtest 한국어

equity · TW

MPI Corporation backtest

10 trend-following strategies were compared on the full daily history of MPI Corporation. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 33.7%, MDD -43.2%).

Data 2007-12-31 ~ 2026-08-31daily bars 4,573 (18.7 years)Costs 0.5%Venue TPEXMonthly snapshot 2026-08-31

Results by strategy

6 of 10 beat buy and hold (CAGR 24.2%, drawdown -82.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.1%, MDD -46.1%, Sharpe 1.03, 70% exposure.

Return/drawdown alternative: Supertrend — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 33.7%, MDD -43.2%, exposure 50%).

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
Donchian 채널 돌파
entryN=11, exitN=26
39.1%-46.1%1.030.85472.6x9870%
Supertrend
period=18, mult=3.1
33.7%-43.2%1.010.78227.1x11250%
ADX / DI 방향성
period=28, threshold=14
31.1%-51.8%0.940.60156.9x10849%
EMA 크로스오버
fast=12, slow=113
29.8%-49.4%0.880.60130.0x4957%
ROC 모멘텀
n=110, threshold=-0.02
27.2%-62.4%0.820.4489.4x12959%
볼린저 밴드 돌파
n=26, k=1.7
21.9%-51.3%0.790.4340.1x14637%
SMA 크로스오버
fast=39, slow=146
25.4%-65.1%0.780.3968.2x3155%
Keltner 채널 돌파
emaPeriod=42, atrPeriod=10, mult=2.1
22.4%-61.7%0.780.3643.8x10641%
Parabolic SAR
step=0.015, maxStep=0.26
23.2%-53.2%0.780.4449.1x28651%
MACD
fast=16, slow=29, signal=11
16.4%-59.0%0.620.2817.1x26252%
Buy and hold24.2%-82.3%0.700.2956.8x1100%
1x 10x 100x 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -41% -62% -82% 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -46.1% (2014-06-30 → 2018-02-07), recovered after 2,163 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore TW assetsAll asset reports

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