Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Union Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Taiwan Union Technology Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 28.3%, MDD -49.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 27.5%, drawdown -74.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 32.6%, MDD -51.7%, Sharpe 0.92, 81% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 28.3%, MDD -49.3%, exposure 63%).
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=17, exitN=76 |
32.6% | -51.7% | 0.92 | 0.63 | 194.1x | 39 | 81% |
| ROC 모멘텀 n=164, threshold=0.11 |
26.9% | -50.9% | 0.88 | 0.53 | 85.6x | 107 | 52% |
| SMA 크로스오버 fast=45, slow=221 |
28.3% | -49.3% | 0.88 | 0.57 | 104.1x | 27 | 63% |
| EMA 크로스오버 fast=15, slow=139 |
26.6% | -60.6% | 0.84 | 0.44 | 82.1x | 39 | 64% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
19.1% | -58.3% | 0.71 | 0.33 | 26.1x | 102 | 47% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=3.2 |
15.1% | -50.3% | 0.71 | 0.30 | 13.8x | 56 | 24% |
| Supertrend period=5, mult=3.9 |
19.7% | -51.0% | 0.70 | 0.39 | 28.6x | 77 | 59% |
| ADX / DI 방향성 period=28, threshold=15 |
17.9% | -45.5% | 0.70 | 0.39 | 21.5x | 120 | 41% |
| Parabolic SAR step=0.025, maxStep=0.12 |
13.1% | -50.7% | 0.55 | 0.26 | 9.9x | 382 | 53% |
| MACD fast=15, slow=42, signal=10 |
10.4% | -56.6% | 0.48 | 0.18 | 6.4x | 255 | 52% |
| Buy and hold | 27.5% | -74.2% | 0.78 | 0.37 | 92.7x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 76 days