Trend-Following Backtester · Guide · backtest 한국어
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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 46.4%, MDD -38.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 42.5%, drawdown -54.8%).
Sharpe leader (same as main): Supertrend — CAGR 36.0%, MDD -33.0%, Sharpe 1.33, 69% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 46.4%, MDD -38.1%, exposure 89%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.4%p lower than buy and hold, while drawdown improves by 21.8%p (CAGR 46.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.8 |
36.0% | -33.0% | 1.33 | 1.09 | 18.3x | 46 | 69% |
| Donchian 채널 돌파 entryN=16, exitN=75 |
46.4% | -38.1% | 1.32 | 1.22 | 36.5x | 15 | 89% |
| SMA 크로스오버 fast=45, slow=57 |
37.4% | -36.8% | 1.22 | 1.02 | 20.1x | 50 | 68% |
| MACD fast=17, slow=75, signal=5 |
26.7% | -36.3% | 1.20 | 0.74 | 9.4x | 147 | 55% |
| EMA 크로스오버 fast=16, slow=154 |
38.4% | -36.8% | 1.20 | 1.04 | 21.5x | 9 | 75% |
| Parabolic SAR step=0.025, maxStep=0.12 |
28.3% | -32.3% | 1.20 | 0.88 | 10.5x | 171 | 64% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=24, mult=2.6 |
23.0% | -30.8% | 1.16 | 0.75 | 7.1x | 54 | 40% |
| ROC 모멘텀 n=96, threshold=0.01 |
32.2% | -37.2% | 1.08 | 0.87 | 14.0x | 61 | 72% |
| 볼린저 밴드 돌파 n=35, k=1.2 |
22.8% | -35.8% | 1.01 | 0.63 | 6.9x | 76 | 53% |
| ADX / DI 방향성 period=20, threshold=13 |
23.2% | -31.3% | 1.00 | 0.74 | 7.1x | 118 | 56% |
| Buy and hold | 42.5% | -54.8% | 1.13 | 0.77 | 28.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)