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. 8 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 16.4%, MDD -25.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 16.6%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 36.9%, MDD -37.2%, Sharpe 1.18, 79% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 20.2%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 16.4%, MDD -25.9%, exposure 35%).
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=45, exitN=75 |
36.9% | -37.2% | 1.18 | 0.99 | 23.7x | 11 | 79% |
| SMA 크로스오버 fast=38, slow=63 |
32.2% | -37.8% | 1.11 | 0.85 | 16.6x | 37 | 69% |
| ROC 모멘텀 n=86, threshold=-0.04 |
32.6% | -37.6% | 1.10 | 0.87 | 17.2x | 39 | 76% |
| MACD fast=11, slow=22, signal=11 |
21.8% | -33.6% | 1.05 | 0.65 | 7.3x | 184 | 53% |
| EMA 크로스오버 fast=39, slow=44 |
30.0% | -37.2% | 1.04 | 0.81 | 14.1x | 21 | 73% |
| ADX / DI 방향성 period=27, threshold=11 |
21.0% | -31.3% | 0.98 | 0.67 | 6.8x | 92 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=3.4 |
16.4% | -25.9% | 0.91 | 0.63 | 4.6x | 48 | 35% |
| 볼린저 밴드 돌파 n=38, k=1.3 |
18.9% | -41.5% | 0.88 | 0.46 | 5.7x | 76 | 53% |
| Parabolic SAR step=0.015, maxStep=0.32 |
17.1% | -32.1% | 0.81 | 0.53 | 4.9x | 178 | 59% |
| Supertrend period=27, mult=5 |
5.9% | -88.0% | 0.55 | 0.07 | 1.8x | 42 | 68% |
| Buy and hold | 16.6% | -90.7% | 0.74 | 0.18 | 4.7x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 75 days