Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Mega Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mega Financial Holding Co., Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -71.1%).
Sharpe leader (same as main): Supertrend — CAGR 3.9%, MDD -51.3%, Sharpe 0.29, 53% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.8 |
3.9% | -51.3% | 0.29 | 0.08 | 2.8x | 89 | 53% |
| SMA 크로스오버 fast=48, slow=167 |
2.4% | -43.0% | 0.22 | 0.06 | 1.9x | 51 | 59% |
| Donchian 채널 돌파 entryN=34, exitN=72 |
2.4% | -52.1% | 0.22 | 0.05 | 1.9x | 63 | 72% |
| 볼린저 밴드 돌파 n=57, k=1.5 |
0.8% | -44.9% | 0.13 | 0.02 | 1.3x | 115 | 40% |
| EMA 크로스오버 fast=18, slow=46 |
0.4% | -57.1% | 0.12 | 0.01 | 1.1x | 121 | 56% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=24, mult=1.5 |
-0.5% | -55.5% | 0.06 | -0.01 | 0.9x | 161 | 46% |
| ROC 모멘텀 n=91, threshold=-0.04 |
-1.6% | -63.2% | 0.04 | -0.03 | 0.7x | 259 | 72% |
| ADX / DI 방향성 period=35, threshold=24 |
-0.1% | -38.1% | 0.02 | -0.00 | 1.0x | 15 | 6% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-1.8% | -63.3% | 0.00 | -0.03 | 0.6x | 333 | 54% |
| MACD fast=19, slow=58, signal=18 |
-2.4% | -72.4% | -0.03 | -0.03 | 0.5x | 285 | 53% |
| Buy and hold | 6.0% | -71.1% | 0.35 | 0.08 | 4.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)