Trend-Following Backtester · Guide · backtest 한국어
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Cathay MSCI Taiwan ESG Sustainability High Dividend Yield ETF backtest
10 trend-following strategies were compared on the full daily history of Cathay MSCI Taiwan ESG Sustainability High Dividend Yield ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -13.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.7%, drawdown -27.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -18.6%, Sharpe 1.17, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 9.0%p (CAGR 12.8%, MDD -13.3%, exposure 59%).
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=62, exitN=85 |
14.4% | -18.6% | 1.17 | 0.77 | 2.3x | 5 | 63% |
| EMA 크로스오버 fast=55, slow=82 |
13.5% | -19.4% | 1.08 | 0.69 | 2.2x | 9 | 64% |
| SMA 크로스오버 fast=52, slow=137 |
12.8% | -13.3% | 1.06 | 0.97 | 2.1x | 9 | 59% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
8.9% | -10.4% | 1.05 | 0.86 | 1.7x | 12 | 25% |
| MACD fast=19, slow=51, signal=17 |
10.4% | -13.2% | 1.05 | 0.79 | 1.8x | 52 | 55% |
| ROC 모멘텀 n=122, threshold=-0.02 |
11.5% | -20.8% | 0.93 | 0.55 | 2.0x | 21 | 67% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=12, mult=3.4 |
7.9% | -14.6% | 0.87 | 0.54 | 1.6x | 22 | 34% |
| Supertrend period=39, mult=5 |
9.1% | -18.2% | 0.85 | 0.50 | 1.7x | 24 | 60% |
| ADX / DI 방향성 period=17, threshold=36 |
5.1% | -10.4% | 0.77 | 0.49 | 1.4x | 14 | 10% |
| Parabolic SAR step=0.015, maxStep=0.28 |
1.9% | -23.7% | 0.24 | 0.08 | 1.1x | 96 | 56% |
| Buy and hold | 13.7% | -27.6% | 0.91 | 0.50 | 2.2x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 85 days