Trend-Following Backtester · Guide · backtest 한국어
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Yuanta Daily Taiwan 50 Bear -1X ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta Daily Taiwan 50 Bear -1X ETF. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR -2.9%, MDD -31.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.4%, drawdown -87.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.1%, MDD -56.0%, Sharpe 0.26, 19% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR -2.9%, MDD -31.2%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=92, threshold=0 |
10.1% | -56.0% | 0.26 | 0.18 | 3.1x | 60 | 19% |
| Donchian 채널 돌파 entryN=40, exitN=71 |
9.6% | -60.2% | 0.26 | 0.16 | 3.0x | 23 | 34% |
| EMA 크로스오버 fast=10, slow=41 |
9.2% | -64.2% | 0.26 | 0.14 | 2.8x | 63 | 26% |
| Supertrend period=23, mult=3 |
8.4% | -61.2% | 0.25 | 0.14 | 2.6x | 91 | 27% |
| 볼린저 밴드 돌파 n=37, k=1.4 |
8.1% | -62.6% | 0.25 | 0.13 | 2.5x | 69 | 21% |
| Parabolic SAR step=0.025, maxStep=0.04 |
6.9% | -67.1% | 0.24 | 0.10 | 2.2x | 105 | 30% |
| ADX / DI 방향성 period=43, threshold=5 |
4.9% | -71.8% | 0.23 | 0.07 | 1.7x | 101 | 32% |
| MACD fast=22, slow=40, signal=24 |
2.0% | -75.0% | 0.22 | 0.03 | 1.3x | 103 | 47% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=9, mult=4 |
-0.9% | -31.3% | -0.08 | -0.03 | 0.9x | 10 | 6% |
| SMA 크로스오버 fast=10, slow=152 |
-2.9% | -31.2% | -0.26 | -0.09 | 0.7x | 16 | 16% |
| Buy and hold | -5.4% | -87.1% | 0.18 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 92-day return is greater than 0%
- Sell — Sell when the 92-day return drops to 0% or below