Trend-Following Backtester · Guide · backtest 한국어
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Cathay TAIEX Daily Leveraged 2X ETF backtest
10 trend-following strategies were compared on the full daily history of Cathay TAIEX Daily Leveraged 2X ETF. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 20.0%, MDD -22.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 18.3%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.9%, MDD -37.2%, Sharpe 1.22, 80% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.6%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 20.0%, MDD -22.3%, exposure 42%).
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=42, exitN=74 |
38.9% | -37.2% | 1.22 | 1.05 | 29.1x | 11 | 80% |
| ROC 모멘텀 n=85, threshold=-0.06 |
36.2% | -37.6% | 1.17 | 0.96 | 23.7x | 35 | 77% |
| SMA 크로스오버 fast=31, slow=94 |
32.5% | -37.2% | 1.10 | 0.87 | 17.9x | 25 | 70% |
| EMA 크로스오버 fast=32, slow=60 |
32.0% | -37.2% | 1.09 | 0.86 | 17.1x | 19 | 73% |
| MACD fast=10, slow=17, signal=15 |
21.8% | -33.6% | 1.05 | 0.65 | 7.5x | 193 | 52% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=23, mult=2.6 |
20.0% | -22.3% | 1.01 | 0.89 | 6.5x | 58 | 42% |
| ADX / DI 방향성 period=28, threshold=7 |
22.0% | -34.7% | 1.00 | 0.63 | 7.6x | 111 | 56% |
| 볼린저 밴드 돌파 n=41, k=1.3 |
19.4% | -35.2% | 0.91 | 0.55 | 6.2x | 71 | 52% |
| Parabolic SAR step=0.03, maxStep=0.16 |
19.5% | -34.2% | 0.90 | 0.57 | 6.2x | 243 | 61% |
| Supertrend period=26, mult=5 |
5.8% | -88.0% | 0.54 | 0.07 | 1.8x | 43 | 67% |
| Buy and hold | 18.3% | -90.7% | 0.76 | 0.20 | 5.6x | 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 42 days
- Sell — Sell when price breaks below the lowest low of the last 74 days