Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Hua Nan Financial Holdings Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Hua Nan Financial Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.

Data 2001-12-20 ~ 2026-07-31daily bars 6,096 (24.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 8.3%, drawdown -55.8%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.4%, MDD -56.9%, Sharpe 0.42, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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
ROC 모멘텀
Hold-like · Exposure 98%
n=19, threshold=-0.13
7.4%-56.9%0.420.135.9x5398%
EMA 크로스오버
fast=77, slow=211
5.1%-50.9%0.360.103.4x2771%
SMA 크로스오버
fast=57, slow=212
4.7%-56.1%0.340.083.1x2765%
Donchian 채널 돌파
entryN=11, exitN=64
3.8%-49.2%0.280.082.5x7788%
Supertrend
period=15, mult=2.8
0.6%-53.3%0.130.011.2x18759%
Parabolic SAR
step=0.015, maxStep=0.34
0.0%-69.4%0.100.001.0x38954%
볼린저 밴드 돌파
n=24, k=2.9
0.4%-37.6%0.090.011.1x6512%
ADX / DI 방향성
period=30, threshold=31
0.2%-18.6%0.080.011.1x103%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=29, mult=1.9
-0.3%-46.3%0.06-0.010.9x15339%
MACD
fast=10, slow=39, signal=17
-1.9%-71.4%-0.01-0.030.6x36751%
Buy and hold8.3%-55.8%0.440.157.1x1100%
1x 2002 2006 2010 2014 2018 2022 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -28% -43% -57% 2002 2006 2010 2014 2018 2022 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -56.9% (2008-05-19 → 2012-06-04), recovered after 4,986 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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