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; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.4%, MDD -23.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.6%, drawdown -53.5%).
Sharpe leader (same as main): MACD — CAGR 5.1%, MDD -28.9%, Sharpe 0.51, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.8%, 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 24.6%p (CAGR 4.4%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=57, signal=28 |
5.1% | -28.9% | 0.51 | 0.18 | 2.5x | 142 | 54% |
| Supertrend period=25, mult=3.3 |
5.0% | -38.5% | 0.51 | 0.13 | 2.5x | 144 | 58% |
| EMA 크로스오버 fast=13, slow=65 |
5.1% | -36.2% | 0.50 | 0.14 | 2.5x | 75 | 59% |
| Donchian 채널 돌파 entryN=11, exitN=48 |
5.8% | -42.3% | 0.50 | 0.14 | 2.9x | 71 | 81% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=36, mult=1 |
4.4% | -23.1% | 0.47 | 0.19 | 2.2x | 126 | 53% |
| SMA 크로스오버 fast=8, slow=84 |
4.7% | -33.3% | 0.47 | 0.14 | 2.3x | 75 | 59% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
3.2% | -19.3% | 0.47 | 0.16 | 1.8x | 58 | 21% |
| Parabolic SAR step=0.005, maxStep=0.2 |
3.1% | -23.6% | 0.35 | 0.13 | 1.8x | 150 | 55% |
| ROC 모멘텀 n=136, threshold=-0.08 |
3.7% | -37.7% | 0.34 | 0.10 | 2.0x | 55 | 81% |
| ADX / DI 방향성 period=26, threshold=26 |
1.0% | -19.8% | 0.19 | 0.05 | 1.2x | 22 | 7% |
| Buy and hold | 3.6% | -53.5% | 0.29 | 0.07 | 1.9x | 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 (16/57) crosses above its 28-day signal line
- Sell — Sell when the MACD line crosses back below the signal line