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.. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.8%, MDD -38.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.1%, drawdown -79.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 7.5%, MDD -47.8%, Sharpe 0.45, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 5.8%, MDD -38.7%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.1 |
7.5% | -47.8% | 0.45 | 0.16 | 7.0x | 261 | 51% |
| Supertrend period=31, mult=2.3 |
7.0% | -50.4% | 0.45 | 0.14 | 6.1x | 258 | 51% |
| 볼린저 밴드 돌파 n=24, k=1.8 |
6.4% | -46.2% | 0.44 | 0.14 | 5.3x | 226 | 37% |
| Donchian 채널 돌파 entryN=35, exitN=77 |
7.5% | -49.9% | 0.43 | 0.15 | 6.9x | 49 | 77% |
| ROC 모멘텀 n=83, threshold=-0.07 |
7.3% | -44.8% | 0.42 | 0.16 | 6.5x | 153 | 79% |
| SMA 크로스오버 fast=9, slow=87 |
6.2% | -40.9% | 0.40 | 0.15 | 5.1x | 113 | 58% |
| EMA 크로스오버 fast=9, slow=86 |
5.8% | -38.7% | 0.38 | 0.15 | 4.5x | 99 | 60% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=1.2 |
4.7% | -44.6% | 0.35 | 0.11 | 3.4x | 300 | 34% |
| MACD fast=17, slow=37, signal=19 |
5.2% | -43.2% | 0.35 | 0.12 | 3.9x | 260 | 51% |
| ADX / DI 방향성 period=23, threshold=15 |
2.1% | -57.5% | 0.21 | 0.04 | 1.7x | 240 | 44% |
| Buy and hold | 5.1% | -79.5% | 0.32 | 0.06 | 3.8x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots