Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chang Hwa Commercial Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chang Hwa Commercial Bank, Ltd.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 2.3%, MDD -55.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.7%, drawdown -70.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.0%, MDD -34.9%, Sharpe 0.22, 14% exposure.
CAGR reference leader: Supertrend — CAGR 2.3%, MDD -55.1%, exposure 54%.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 35.6%p (CAGR 2.3%, MDD -55.1%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=2.6 |
2.0% | -34.9% | 0.22 | 0.06 | 1.7x | 98 | 14% |
| Supertrend period=9, mult=4.8 |
2.3% | -55.1% | 0.21 | 0.04 | 1.8x | 89 | 54% |
| ROC 모멘텀 n=83, threshold=-0.09 |
2.0% | -64.4% | 0.20 | 0.03 | 1.7x | 117 | 82% |
| 볼린저 밴드 돌파 n=38, k=2.6 |
1.7% | -36.6% | 0.20 | 0.05 | 1.6x | 80 | 19% |
| ADX / DI 방향성 period=28, threshold=32 |
0.6% | -22.8% | 0.13 | 0.02 | 1.2x | 18 | 4% |
| Parabolic SAR step=0.015, maxStep=0.16 |
0.2% | -61.8% | 0.11 | 0.00 | 1.1x | 385 | 51% |
| SMA 크로스오버 fast=10, slow=76 |
0.1% | -65.1% | 0.10 | 0.00 | 1.0x | 143 | 56% |
| Donchian 채널 돌파 entryN=31, exitN=16 |
0.3% | -59.2% | 0.10 | 0.01 | 1.1x | 151 | 39% |
| MACD fast=21, slow=50, signal=17 |
-0.1% | -58.2% | 0.10 | -0.00 | 1.0x | 276 | 51% |
| EMA 크로스오버 fast=11, slow=67 |
-0.1% | -61.0% | 0.09 | -0.00 | 1.0x | 141 | 56% |
| Buy and hold | 2.7% | -70.5% | 0.24 | 0.04 | 2.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 18-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average