Trend-Following Backtester · Guide · backtest 한국어
equity · TW
TCC Group Holdings Co Ltd. backtest
10 trend-following strategies were compared on the full daily history of TCC Group Holdings Co Ltd.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 2.7%, MDD -46.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.6%, drawdown -83.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.8%, MDD -53.6%, Sharpe 0.32, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 2.7%, MDD -46.2%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=70, slow=275 |
4.8% | -53.6% | 0.32 | 0.09 | 3.5x | 22 | 56% |
| Donchian 채널 돌파 entryN=9, exitN=71 |
3.9% | -78.9% | 0.28 | 0.05 | 2.7x | 93 | 84% |
| SMA 크로스오버 fast=46, slow=157 |
3.2% | -53.5% | 0.25 | 0.06 | 2.3x | 56 | 52% |
| Supertrend period=9, mult=3.2 |
2.7% | -46.2% | 0.23 | 0.06 | 2.1x | 167 | 52% |
| ROC 모멘텀 n=74, threshold=0.05 |
1.7% | -67.9% | 0.19 | 0.02 | 1.6x | 278 | 39% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
1.6% | -59.7% | 0.18 | 0.03 | 1.5x | 90 | 30% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.1% | -71.7% | 0.12 | 0.00 | 1.0x | 189 | 50% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=26, mult=2.4 |
0.2% | -65.2% | 0.11 | 0.00 | 1.1x | 116 | 34% |
| MACD fast=23, slow=55, signal=18 |
-1.3% | -65.8% | 0.06 | -0.02 | 0.7x | 249 | 51% |
| ADX / DI 방향성 period=21, threshold=15 |
-2.2% | -64.6% | 0.00 | -0.03 | 0.6x | 276 | 41% |
| Buy and hold | 1.6% | -83.8% | 0.22 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 275-day EMA
- Sell — Sell when the 70-day EMA falls below the 275-day EMA