Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Hon Hai Precision Industry Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Hon Hai Precision Industry Co., Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 21.1%, MDD -55.5%).

Data 1993-01-05 ~ 2026-07-31daily bars 8,433 (33.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 19.0%, drawdown -75.6%).

Sharpe leader (same as main): Supertrend — CAGR 21.1%, MDD -55.5%, Sharpe 0.70, 56% exposure.

Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 21.1%, MDD -55.5%, exposure 56%).

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
Supertrend
period=4, mult=3.8
21.1%-55.5%0.700.38610.0x18356%
볼린저 밴드 돌파
n=57, k=2.2
18.6%-56.7%0.690.33305.4x8833%
Donchian 채널 돌파
entryN=113, exitN=28
13.2%-42.6%0.680.3164.6x6033%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=9, mult=2.7
17.2%-55.1%0.640.31208.3x12238%
SMA 크로스오버
fast=11, slow=51
15.1%-78.9%0.550.19111.9x19656%
ADX / DI 방향성
period=22, threshold=16
11.6%-68.5%0.480.1739.9x27639%
EMA 크로스오버
fast=49, slow=110
12.1%-82.5%0.480.1545.6x6557%
Parabolic SAR
step=0.005, maxStep=0.22
11.7%-55.4%0.470.2140.8x24054%
ROC 모멘텀
n=131, threshold=0.11
11.6%-55.9%0.470.2139.4x23441%
MACD
fast=15, slow=56, signal=18
7.4%-70.9%0.400.1010.9x37651%
Buy and hold19.0%-75.6%0.600.25341.0x1100%
1x 10x 100x 1994 1999 2004 2009 2014 2019 2024 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -76% 1994 1999 2004 2009 2014 2019 2024 Buy and holdSupertrend
Supertrend maximum drawdown -55.5% (2007-01-18 → 2009-03-02), recovered after 1,005 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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