Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Glass Industry Corp. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Glass Industry Corp.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -65.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -86.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.3%, MDD -55.9%, Sharpe 0.43, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.4%, MDD -65.7%, exposure 51%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 30.0%p (CAGR 8.4%, MDD -65.7%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=24 |
7.3% | -55.9% | 0.43 | 0.13 | 6.6x | 48 | 18% |
| SMA 크로스오버 fast=24, slow=178 |
8.4% | -65.7% | 0.42 | 0.13 | 8.7x | 48 | 51% |
| EMA 크로스오버 fast=57, slow=180 |
7.8% | -66.0% | 0.40 | 0.12 | 7.5x | 35 | 51% |
| Donchian 채널 돌파 entryN=7, exitN=76 |
5.6% | -80.8% | 0.33 | 0.07 | 4.3x | 107 | 85% |
| ROC 모멘텀 n=103, threshold=-0.03 |
3.7% | -73.6% | 0.28 | 0.05 | 2.6x | 275 | 59% |
| Supertrend period=8, mult=4.4 |
3.7% | -68.2% | 0.27 | 0.05 | 2.6x | 99 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=1.1 |
2.5% | -80.8% | 0.23 | 0.03 | 1.9x | 198 | 41% |
| MACD fast=18, slow=22, signal=19 |
1.9% | -62.0% | 0.21 | 0.03 | 1.7x | 315 | 51% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
0.6% | -84.9% | 0.16 | 0.01 | 1.2x | 124 | 34% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-0.3% | -72.2% | 0.14 | -0.00 | 0.9x | 331 | 49% |
| Buy and hold | 8.1% | -86.0% | 0.40 | 0.09 | 8.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)