Trend-Following Backtester · Guide · backtest 한국어
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Fubon Taiwan Technology ETF backtest
10 trend-following strategies were compared on the full daily history of Fubon Taiwan Technology ETF. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -12.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -86.6%).
Sharpe leader (same as main): MACD — CAGR 8.8%, MDD -40.9%, Sharpe 0.58, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 2.0%, MDD -12.6%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=35, slow=42, signal=20 |
8.8% | -40.9% | 0.58 | 0.22 | 4.8x | 152 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
6.8% | -54.4% | 0.46 | 0.13 | 3.4x | 144 | 58% |
| Donchian 채널 돌파 entryN=11, exitN=75 |
2.5% | -86.8% | 0.37 | 0.03 | 1.6x | 53 | 87% |
| ADX / DI 방향성 period=13, threshold=38 |
2.0% | -12.6% | 0.35 | 0.16 | 1.4x | 36 | 7% |
| 볼린저 밴드 돌파 n=20, k=2.6 |
2.7% | -47.9% | 0.33 | 0.06 | 1.7x | 74 | 16% |
| ROC 모멘텀 n=85, threshold=-0.08 |
-1.3% | -86.9% | 0.24 | -0.02 | 0.8x | 97 | 80% |
| SMA 크로스오버 fast=55, slow=88 |
-1.5% | -86.6% | 0.23 | -0.02 | 0.8x | 51 | 63% |
| EMA 크로스오버 fast=42, slow=113 |
-2.4% | -86.7% | 0.19 | -0.03 | 0.6x | 30 | 65% |
| Supertrend period=19, mult=5 |
-2.7% | -86.6% | 0.18 | -0.03 | 0.6x | 90 | 61% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=15, mult=3 |
-5.2% | -87.1% | 0.07 | -0.06 | 0.4x | 88 | 44% |
| Buy and hold | 2.1% | -86.6% | 0.35 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (35/42) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line