Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chunghwa Telecom Co., Ltd backtest
10 trend-following strategies were compared on the full daily history of Chunghwa Telecom Co., Ltd. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.8%, MDD -36.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.6%, drawdown -59.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.8%, MDD -36.6%, Sharpe 0.24, 93% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 2.8%, MDD -36.6%, exposure 93%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=131, threshold=-0.15 |
2.8% | -36.6% | 0.24 | 0.08 | 2.0x | 23 | 93% |
| Donchian 채널 돌파 entryN=11, exitN=74 |
-0.4% | -51.9% | 0.07 | -0.01 | 0.9x | 73 | 87% |
| SMA 크로스오버 fast=48, slow=139 |
-0.3% | -34.4% | 0.06 | -0.01 | 0.9x | 59 | 58% |
| EMA 크로스오버 fast=47, slow=288 |
-0.8% | -47.5% | 0.04 | -0.02 | 0.8x | 41 | 62% |
| MACD fast=46, slow=66, signal=25 |
-1.5% | -48.0% | -0.04 | -0.03 | 0.7x | 144 | 54% |
| ADX / DI 방향성 period=20, threshold=34 |
-0.6% | -16.8% | -0.09 | -0.03 | 0.9x | 32 | 7% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
-1.3% | -39.3% | -0.18 | -0.03 | 0.7x | 34 | 10% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.5% | -79.7% | -0.33 | -0.07 | 0.2x | 166 | 56% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=21, mult=3.8 |
-2.2% | -46.0% | -0.34 | -0.05 | 0.6x | 36 | 6% |
| Supertrend period=9, mult=4.7 |
-6.4% | -83.2% | -0.37 | -0.08 | 0.2x | 90 | 54% |
| Buy and hold | 1.6% | -59.2% | 0.18 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 131-day return is greater than -15%
- Sell — Sell when the 131-day return drops to -15% or below