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.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.4%, MDD -55.9%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,608 (26.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 7.0%, drawdown -86.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -55.9%, Sharpe 0.43, 18% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -65.7%, exposure 51%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 7.4%, MDD -55.9%, exposure 18%).

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
ADX / DI 방향성
period=30, threshold=24
7.4%-55.9%0.430.136.6x4818%
SMA 크로스오버
fast=24, slow=178
7.5%-65.7%0.390.116.9x4751%
EMA 크로스오버
fast=57, slow=180
6.7%-66.0%0.360.105.6x3551%
Donchian 채널 돌파
entryN=7, exitN=76
5.2%-80.8%0.320.063.8x10685%
Supertrend
period=8, mult=4.4
3.7%-68.2%0.270.052.7x9849%
ROC 모멘텀
n=103, threshold=-0.03
3.5%-73.6%0.270.052.5x27059%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=23, mult=1.1
2.5%-80.8%0.230.031.9x19841%
MACD
fast=18, slow=22, signal=19
1.6%-62.0%0.200.031.5x31451%
볼린저 밴드 돌파
n=58, k=1.7
0.6%-84.9%0.160.011.2x12434%
Parabolic SAR
step=0.015, maxStep=0.06
-0.4%-72.2%0.13-0.010.9x33049%
Buy and hold7.0%-86.0%0.370.086.0x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -21% -43% -64% -86% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -55.9% (2004-03-01 → 2020-07-28), recovered after 6,251 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

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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