Trend-Following Backtester · Guide · backtest 한국어
etf · TW
Fubon FTSE TWSE Taiwan 50 ETF backtest
10 trend-following strategies were compared on the full daily history of Fubon FTSE TWSE Taiwan 50 ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.2%, MDD -22.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.8%, drawdown -35.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.2%, MDD -22.6%, Sharpe 1.02, 84% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 16.2%, MDD -22.6%, exposure 84%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=83 |
16.2% | -22.6% | 1.02 | 0.72 | 8.5x | 21 | 84% |
| SMA 크로스오버 fast=34, slow=107 |
14.1% | -28.1% | 0.95 | 0.50 | 6.5x | 33 | 70% |
| EMA 크로스오버 fast=19, slow=201 |
12.9% | -30.6% | 0.86 | 0.42 | 5.6x | 19 | 76% |
| ROC 모멘텀 n=192, threshold=-0.04 |
13.3% | -30.0% | 0.86 | 0.44 | 5.9x | 37 | 78% |
| Supertrend period=25, mult=4.7 |
11.1% | -32.7% | 0.85 | 0.34 | 4.4x | 69 | 67% |
| Parabolic SAR step=0.005, maxStep=0.28 |
8.7% | -28.9% | 0.72 | 0.30 | 3.3x | 107 | 62% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=3.2 |
6.3% | -22.6% | 0.57 | 0.28 | 2.4x | 70 | 46% |
| ADX / DI 방향성 period=42, threshold=18 |
4.9% | -20.0% | 0.57 | 0.24 | 2.0x | 22 | 18% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
5.7% | -28.9% | 0.53 | 0.20 | 2.2x | 54 | 42% |
| MACD fast=11, slow=35, signal=15 |
5.2% | -43.2% | 0.50 | 0.12 | 2.0x | 193 | 52% |
| Buy and hold | 15.8% | -35.0% | 0.89 | 0.45 | 8.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 83 days