Trend-Following Backtester · Guide · backtest 한국어
etf · TW
Yuanta/P-shares Taiwan Top 50 ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta/P-shares Taiwan Top 50 ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.5%, MDD -23.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -77.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -29.2%, Sharpe 0.71, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 7.5%, MDD -23.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=36, slow=93 |
9.4% | -29.2% | 0.71 | 0.32 | 4.9x | 51 | 66% |
| ROC 모멘텀 n=137, threshold=0.16 |
6.3% | -21.7% | 0.65 | 0.29 | 2.9x | 61 | 21% |
| Donchian 채널 돌파 entryN=60, exitN=33 |
7.5% | -23.8% | 0.65 | 0.32 | 3.6x | 50 | 53% |
| ADX / DI 방향성 period=31, threshold=19 |
4.6% | -21.1% | 0.55 | 0.22 | 2.2x | 42 | 18% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=3.6 |
3.7% | -22.7% | 0.51 | 0.16 | 1.9x | 50 | 18% |
| 볼린저 밴드 돌파 n=55, k=1.9 |
4.9% | -22.9% | 0.49 | 0.21 | 2.3x | 74 | 39% |
| Supertrend period=16, mult=3.2 |
4.3% | -78.0% | 0.39 | 0.05 | 2.1x | 116 | 64% |
| EMA 크로스오버 fast=36, slow=106 |
1.9% | -82.3% | 0.29 | 0.02 | 1.4x | 33 | 67% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.2% | -80.7% | 0.20 | -0.00 | 1.0x | 136 | 60% |
| MACD fast=13, slow=27, signal=17 |
-1.7% | -80.6% | 0.12 | -0.02 | 0.7x | 230 | 52% |
| Buy and hold | 6.7% | -77.9% | 0.45 | 0.09 | 3.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 36-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 36-day average falls below the 93-day average