Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Business Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Business Bank, Ltd.. 5 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 5.1%, MDD -46.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.1%, drawdown -79.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 5.8%, MDD -48.8%, Sharpe 0.38, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 5.1%, MDD -46.1%, exposure 50%).
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 |
5.8% | -48.8% | 0.38 | 0.12 | 4.6x | 288 | 52% |
| Supertrend period=19, mult=4 |
5.3% | -47.6% | 0.36 | 0.11 | 4.0x | 111 | 54% |
| 볼린저 밴드 돌파 n=11, k=3.1 |
1.4% | -6.9% | 0.36 | 0.21 | 1.5x | 6 | 1% |
| MACD fast=27, slow=88, signal=17 |
5.1% | -46.1% | 0.35 | 0.11 | 3.8x | 207 | 50% |
| ROC 모멘텀 n=105, threshold=-0.06 |
3.4% | -61.3% | 0.26 | 0.06 | 2.5x | 159 | 74% |
| SMA 크로스오버 fast=50, slow=146 |
3.2% | -71.0% | 0.26 | 0.04 | 2.3x | 51 | 57% |
| Donchian 채널 돌파 entryN=14, exitN=77 |
2.9% | -73.4% | 0.24 | 0.04 | 2.1x | 71 | 83% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=2.1 |
2.2% | -39.8% | 0.22 | 0.06 | 1.8x | 131 | 35% |
| EMA 크로스오버 fast=15, slow=85 |
2.1% | -53.0% | 0.20 | 0.04 | 1.7x | 107 | 57% |
| ADX / DI 방향성 period=13, threshold=31 |
0.9% | -42.3% | 0.13 | 0.02 | 1.3x | 157 | 18% |
| Buy and hold | 3.1% | -79.6% | 0.25 | 0.04 | 2.3x | 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