Trend-Following Backtester · Guide · backtest 한국어
equity · TW
HIWIN Technologies Corp. backtest
10 trend-following strategies were compared on the full daily history of HIWIN Technologies Corp.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.8%, MDD -44.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.8%, drawdown -89.7%).
Sharpe leader (same as main): Supertrend — CAGR 18.9%, MDD -47.4%, Sharpe 0.75, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 13.8%, MDD -44.8%, exposure 33%).
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=10, mult=4.2 |
18.9% | -47.4% | 0.75 | 0.40 | 25.1x | 60 | 53% |
| EMA 크로스오버 fast=13, slow=47 |
18.5% | -49.3% | 0.73 | 0.38 | 23.4x | 74 | 53% |
| 볼린저 밴드 돌파 n=42, k=1.7 |
15.2% | -51.3% | 0.71 | 0.30 | 13.9x | 92 | 36% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=11, mult=2 |
15.7% | -51.4% | 0.70 | 0.31 | 15.0x | 64 | 39% |
| ROC 모멘텀 n=65, threshold=0.07 |
15.7% | -55.1% | 0.68 | 0.28 | 15.0x | 138 | 42% |
| ADX / DI 방향성 period=37, threshold=15 |
13.8% | -44.8% | 0.65 | 0.31 | 11.0x | 98 | 33% |
| SMA 크로스오버 fast=27, slow=39 |
15.3% | -67.7% | 0.64 | 0.23 | 14.1x | 126 | 53% |
| Donchian 채널 돌파 entryN=94, exitN=56 |
13.5% | -56.6% | 0.61 | 0.24 | 10.4x | 28 | 39% |
| Parabolic SAR step=0.02, maxStep=0.3 |
13.2% | -58.1% | 0.59 | 0.23 | 10.0x | 332 | 50% |
| MACD fast=20, slow=58, signal=21 |
7.1% | -80.1% | 0.41 | 0.09 | 3.6x | 144 | 53% |
| Buy and hold | 4.8% | -89.7% | 0.35 | 0.05 | 2.4x | 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) — 10-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)