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Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Keystone Microtech Co. backtest

10 trend-following strategies were compared on the full daily history of Keystone Microtech Co.. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 58.5%, MDD -29.2%).

Data 2018-05-28 ~ 2026-08-31daily bars 2,010 (8.3 years)Costs 0.5%Venue TPEXMonthly snapshot 2026-08-31

Results by strategy

8 of 10 beat buy and hold (CAGR 27.6%, drawdown -67.1%).

Sharpe leader (same as main): MACD — CAGR 58.5%, MDD -29.2%, Sharpe 1.38, 51% exposure.

Return/drawdown alternative: MACD — CAGR is 30.8%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 58.5%, MDD -29.2%, exposure 51%).

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
MACD
fast=10, slow=36, signal=11
58.5%-29.2%1.382.0044.8x11151%
Supertrend
period=20, mult=1.7
44.4%-40.1%1.181.1120.8x11447%
Parabolic SAR
step=0.02, maxStep=0.2
40.3%-42.2%1.100.9516.4x15451%
볼린저 밴드 돌파
n=12, k=1.9
30.9%-29.9%1.001.049.3x11232%
SMA 크로스오버
fast=12, slow=17
36.1%-50.5%0.990.7112.7x12353%
ROC 모멘텀
n=11, threshold=-0.04
36.0%-54.9%0.940.6612.7x23067%
ADX / DI 방향성
period=18, threshold=13
33.4%-50.1%0.920.6710.8x10256%
Keltner 채널 돌파
emaPeriod=24, atrPeriod=15, mult=1.4
29.5%-42.3%0.910.708.4x7437%
Donchian 채널 돌파
entryN=22, exitN=8
24.1%-42.7%0.800.576.0x6635%
EMA 크로스오버
fast=14, slow=145
25.1%-59.7%0.740.426.4x2061%
Buy and hold27.6%-67.1%0.730.417.5x1100%
1x 10x 2019 2020 2021 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -50% -67% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -29.2% (2021-11-05 → 2022-05-16), recovered after 298 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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 setupMore TW assetsAll asset reports

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