Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Fubon Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fubon Financial Holding Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -57.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -56.7%, Sharpe 0.41, 51% exposure.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=73, exitN=64 |
6.0% | -56.7% | 0.41 | 0.11 | 4.2x | 37 | 51% |
| SMA 크로스오버 fast=12, slow=149 |
5.6% | -54.0% | 0.38 | 0.10 | 3.9x | 65 | 58% |
| EMA 크로스오버 fast=46, slow=69 |
5.0% | -53.3% | 0.35 | 0.09 | 3.3x | 59 | 59% |
| ADX / DI 방향성 period=39, threshold=23 |
1.9% | -18.1% | 0.28 | 0.10 | 1.6x | 15 | 6% |
| Supertrend period=9, mult=4.8 |
2.4% | -70.8% | 0.22 | 0.03 | 1.8x | 89 | 61% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
0.7% | -34.1% | 0.12 | 0.02 | 1.2x | 29 | 11% |
| ROC 모멘텀 n=138, threshold=0.13 |
0.7% | -48.9% | 0.12 | 0.01 | 1.2x | 197 | 28% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.1% | -64.9% | 0.10 | 0.00 | 1.0x | 184 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=25, mult=3.8 |
0.0% | -62.0% | 0.06 | 0.00 | 1.0x | 59 | 17% |
| MACD fast=20, slow=34, signal=22 |
-2.6% | -78.1% | -0.04 | -0.03 | 0.5x | 260 | 49% |
| Buy and hold | 7.4% | -57.3% | 0.40 | 0.13 | 5.8x | 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 73 days
- Sell — Sell when price breaks below the lowest low of the last 64 days