Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Gold Circuit Electronics Ltd backtest

10 trend-following strategies were compared on the full daily history of Gold Circuit Electronics Ltd. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.5%, MDD -51.8%).

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

4 of 10 beat buy and hold (CAGR 14.7%, drawdown -83.1%).

Sharpe leader (same as main): Supertrend — CAGR 18.5%, MDD -51.8%, Sharpe 0.66, 61% exposure.

Return/drawdown alternative: Supertrend — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 18.5%, MDD -51.8%, exposure 61%).

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=5, mult=3.8
18.5%-51.8%0.660.3691.1x11861%
EMA 크로스오버
fast=57, slow=185
16.9%-64.8%0.620.2663.3x2761%
Donchian 채널 돌파
entryN=90, exitN=96
16.2%-57.1%0.600.2853.9x2857%
SMA 크로스오버
fast=47, slow=218
16.2%-61.1%0.600.2754.4x2758%
Keltner 채널 돌파
emaPeriod=66, atrPeriod=20, mult=2.1
9.4%-64.7%0.450.1511.0x12841%
ROC 모멘텀
n=110, threshold=-0.04
9.9%-61.8%0.440.1612.4x28465%
MACD
fast=15, slow=19, signal=17
9.2%-71.2%0.430.1310.4x38051%
ADX / DI 방향성
period=33, threshold=32
4.6%-29.7%0.410.153.3x166%
볼린저 밴드 돌파
n=43, k=1.4
7.0%-64.6%0.380.116.0x19440%
Parabolic SAR
step=0.05, maxStep=0.08
6.7%-69.7%0.360.105.5x55252%
Buy and hold14.7%-83.1%0.530.1838.3x1100%
1x 10x 100x 2001 2005 2009 2013 2017 2021 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -62% -83% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend
Supertrend maximum drawdown -51.8% (2000-04-10 → 2002-12-19), recovered after 1,177 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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