Trend-Following Backtester · Guide · backtest 한국어
etf · TW
Yuanta/P-shares Taiwan Dividend Plus ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta/P-shares Taiwan Dividend Plus ETF. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.8%, MDD -23.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.1%, drawdown -53.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.6%, MDD -36.2%, Sharpe 0.55, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -42.3%, exposure 81%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 4.8%, MDD -23.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=65 |
5.6% | -36.2% | 0.55 | 0.15 | 2.8x | 75 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=48 |
6.4% | -42.3% | 0.54 | 0.15 | 3.2x | 71 | 81% |
| Supertrend period=25, mult=3.3 |
5.3% | -38.5% | 0.53 | 0.14 | 2.6x | 145 | 58% |
| MACD fast=16, slow=57, signal=28 |
5.1% | -28.9% | 0.51 | 0.18 | 2.5x | 143 | 54% |
| SMA 크로스오버 fast=8, slow=84 |
5.2% | -33.3% | 0.51 | 0.16 | 2.6x | 75 | 59% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=36, mult=1 |
4.8% | -23.1% | 0.51 | 0.21 | 2.4x | 127 | 53% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
3.2% | -19.3% | 0.46 | 0.16 | 1.8x | 58 | 21% |
| ROC 모멘텀 n=136, threshold=-0.08 |
4.2% | -37.7% | 0.38 | 0.11 | 2.2x | 55 | 82% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.2% | -23.6% | 0.36 | 0.14 | 1.8x | 151 | 55% |
| ADX / DI 방향성 period=26, threshold=26 |
1.0% | -19.8% | 0.19 | 0.05 | 1.2x | 22 | 7% |
| Buy and hold | 4.1% | -53.5% | 0.32 | 0.08 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 65-day EMA
- Sell — Sell when the 13-day EMA falls below the 65-day EMA