Trend-Following Backtester · Guide · backtest 한국어

equity · TW

C Sun Mfg. Ltd. backtest

10 trend-following strategies were compared on the full daily history of C Sun Mfg. Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.9%, MDD -46.8%).

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

0 of 10 beat buy and hold (CAGR 15.7%, drawdown -74.1%).

Sharpe leader (same as main): Supertrend — CAGR 14.9%, MDD -46.8%, Sharpe 0.61, 48% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 15.0%, MDD -76.3%, exposure 89%.

Return/drawdown alternative: Supertrend — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 27.3%p (CAGR 14.9%, MDD -46.8%, exposure 48%).

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=20, mult=4
14.9%-46.8%0.610.3239.6x11048%
Donchian 채널 돌파
entryN=7, exitN=79
15.0%-76.3%0.570.2041.3x7789%
EMA 크로스오버
fast=49, slow=113
13.2%-56.3%0.560.2427.3x4356%
ADX / DI 방향성
period=17, threshold=26
11.0%-46.3%0.540.2415.9x12224%
SMA 크로스오버
fast=25, slow=37
12.4%-63.9%0.540.1922.3x19652%
MACD
fast=16, slow=29, signal=23
11.6%-49.4%0.530.2418.7x27453%
Keltner 채널 돌파
emaPeriod=57, atrPeriod=20, mult=1.7
10.8%-63.2%0.510.1715.3x15039%
ROC 모멘텀
n=86, threshold=0.02
9.1%-72.5%0.440.1310.1x24551%
Parabolic SAR
step=0.01, maxStep=0.08
7.9%-78.6%0.420.107.6x26650%
볼린저 밴드 돌파
n=49, k=2.4
5.7%-81.6%0.360.074.3x8627%
Buy and hold15.7%-74.1%0.580.2148.5x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파SupertrendBuy and hold
Supertrend (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -19% -38% -57% -76% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파Supertrend
Supertrend maximum drawdown -46.8% (2007-01-25 → 2009-03-11), recovered after 1,071 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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