Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taichung Commercial Bank Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taichung Commercial Bank Co., Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.9%, MDD -39.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.2%, drawdown -79.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.9%, MDD -45.0%, Sharpe 0.45, 74% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.2%, MDD -48.3%, exposure 89%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 5.9%, MDD -39.5%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=42, exitN=76 |
7.9% | -45.0% | 0.45 | 0.18 | 7.6x | 43 | 74% |
| ROC 모멘텀 n=54, threshold=-0.14 |
8.2% | -48.3% | 0.45 | 0.17 | 8.1x | 109 | 89% |
| Parabolic SAR step=0.01, maxStep=0.3 |
7.3% | -52.0% | 0.44 | 0.14 | 6.5x | 269 | 51% |
| Supertrend period=24, mult=2.3 |
6.7% | -47.9% | 0.43 | 0.14 | 5.6x | 249 | 51% |
| SMA 크로스오버 fast=10, slow=90 |
6.8% | -40.8% | 0.42 | 0.17 | 5.7x | 97 | 58% |
| 볼린저 밴드 돌파 n=23, k=2 |
5.9% | -39.5% | 0.42 | 0.15 | 4.6x | 211 | 34% |
| EMA 크로스오버 fast=42, slow=143 |
5.7% | -53.3% | 0.37 | 0.11 | 4.4x | 34 | 64% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=15, mult=0.5 |
5.1% | -41.7% | 0.35 | 0.12 | 3.8x | 239 | 53% |
| MACD fast=18, slow=49, signal=19 |
5.1% | -43.9% | 0.34 | 0.12 | 3.8x | 245 | 51% |
| ADX / DI 방향성 period=16, threshold=15 |
1.2% | -47.7% | 0.16 | 0.03 | 1.4x | 373 | 50% |
| Buy and hold | 5.2% | -79.5% | 0.32 | 0.07 | 3.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 42 days
- Sell — Sell when price breaks below the lowest low of the last 76 days