Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chunghwa Precision Test Tech Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chunghwa Precision Test Tech Co., Ltd.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 29.7%, MDD -37.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 30.9%, drawdown -75.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 32.6%, MDD -57.0%, Sharpe 1.19, 27% exposure.
CAGR reference leader: MACD — CAGR 34.1%, MDD -49.6%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 29.7%, MDD -37.9%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=10, threshold=33 |
32.6% | -57.0% | 1.19 | 0.57 | 26.5x | 96 | 27% |
| MACD fast=11, slow=63, signal=16 |
34.1% | -49.6% | 1.04 | 0.69 | 30.1x | 121 | 50% |
| 볼린저 밴드 돌파 n=16, k=1.5 |
29.7% | -37.9% | 1.01 | 0.78 | 20.4x | 146 | 36% |
| Supertrend period=10, mult=3 |
32.5% | -58.0% | 0.97 | 0.56 | 26.2x | 71 | 54% |
| SMA 크로스오버 fast=50, slow=184 |
31.1% | -52.9% | 0.92 | 0.59 | 23.2x | 14 | 53% |
| ROC 모멘텀 n=138, threshold=0.11 |
28.8% | -61.8% | 0.90 | 0.47 | 18.9x | 76 | 44% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=1 |
25.8% | -56.8% | 0.89 | 0.46 | 14.4x | 126 | 40% |
| EMA 크로스오버 fast=8, slow=152 |
28.1% | -67.9% | 0.88 | 0.41 | 17.8x | 34 | 51% |
| Donchian 채널 돌파 entryN=126, exitN=36 |
23.6% | -51.8% | 0.87 | 0.46 | 11.7x | 16 | 30% |
| Parabolic SAR step=0.015, maxStep=0.18 |
25.5% | -45.7% | 0.84 | 0.56 | 13.9x | 180 | 51% |
| Buy and hold | 30.9% | -75.2% | 0.80 | 0.41 | 22.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 10-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)