Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Macronix International Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Macronix International Co., Ltd.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.4%, MDD -37.2%).

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

10 of 10 beat buy and hold (CAGR -0.6%, drawdown -97.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -37.2%, Sharpe 0.64, 17% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 13.6%, MDD -59.8%, exposure 30%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 60.7%p (CAGR 13.4%, MDD -37.2%, exposure 17%).

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
Donchian 채널 돌파
entryN=152, exitN=34
13.4%-37.2%0.640.3628.3x2617%
ROC 모멘텀
n=153, threshold=0.1
13.6%-59.8%0.580.2329.4x11530%
Supertrend
period=12, mult=4.5
13.6%-75.5%0.540.1829.4x9851%
ADX / DI 방향성
period=16, threshold=30
9.6%-49.3%0.530.2011.5x11613%
SMA 크로스오버
fast=40, slow=195
11.0%-74.9%0.490.1515.8x3939%
볼린저 밴드 돌파
n=58, k=2.9
9.3%-54.5%0.480.1710.6x5220%
EMA 크로스오버
fast=22, slow=159
9.4%-67.3%0.450.1411.0x4537%
Keltner 채널 돌파
emaPeriod=51, atrPeriod=9, mult=3.3
8.5%-63.1%0.440.148.8x7623%
Parabolic SAR
step=0.005, maxStep=0.32
3.9%-69.7%0.280.062.7x19649%
MACD
fast=16, slow=22, signal=17
0.2%-87.6%0.170.001.0x37250%
Buy and hold-0.6%-97.9%0.23-0.010.9x1100%
0.1 1x 10x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -24% -49% -73% -98% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -37.2% (2004-04-14 → 2004-05-17), recovered after 1,198 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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