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Capital TAIEX Daily Leveraged 2X ETF backtest

10 trend-following strategies were compared on the full daily history of Capital TAIEX Daily Leveraged 2X ETF. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 45.5%, MDD -38.1%).

Data 2017-03-23 ~ 2026-07-31daily bars 2,278 (9.4 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 41.6%, drawdown -54.8%).

Sharpe leader (same as main): Supertrend — CAGR 36.4%, MDD -33.0%, Sharpe 1.34, 70% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 45.5%, MDD -38.1%, exposure 89%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.2%p lower than buy and hold, while drawdown improves by 21.8%p (CAGR 45.5%, MDD -38.1%, exposure 89%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=21, mult=4.8
36.4%-33.0%1.341.1018.3x4670%
Donchian 채널 돌파
entryN=16, exitN=75
45.5%-38.1%1.311.1933.4x1589%
SMA 크로스오버
fast=45, slow=57
37.6%-36.8%1.231.0219.8x4969%
MACD
fast=17, slow=75, signal=5
27.4%-36.3%1.220.759.6x14455%
Parabolic SAR
step=0.025, maxStep=0.12
28.2%-32.3%1.200.8710.2x16864%
EMA 크로스오버
fast=16, slow=154
37.5%-36.8%1.181.0219.7x975%
Keltner 채널 돌파
emaPeriod=29, atrPeriod=24, mult=2.6
23.2%-30.8%1.160.757.1x5441%
ROC 모멘텀
n=96, threshold=0.01
31.3%-37.2%1.060.8412.8x6172%
볼린저 밴드 돌파
n=35, k=1.2
23.0%-35.8%1.020.646.9x7653%
ADX / DI 방향성
period=20, threshold=13
23.4%-31.3%1.010.757.1x11857%
Buy and hold41.6%-54.8%1.120.7625.9x1100%
1x 10x 2018 2020 2022 2024 2026 Donchian 채널 돌파SupertrendBuy and hold
Supertrend (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -14% -27% -41% -55% 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파Supertrend
Supertrend maximum drawdown -33.0% (2021-07-15 → 2022-09-08), recovered after 698 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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