Trend-Following Backtester · Guide · backtest 한국어
equity · TW
SinoPac Financial Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of SinoPac Financial Holdings Co., Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.4%, MDD -43.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.7%, drawdown -78.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -43.7%, Sharpe 0.40, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 35.0%p (CAGR 6.4%, MDD -43.7%, exposure 66%).
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=56, exitN=78 |
6.4% | -43.7% | 0.40 | 0.15 | 5.2x | 43 | 66% |
| EMA 크로스오버 fast=26, slow=91 |
5.0% | -52.3% | 0.35 | 0.10 | 3.7x | 69 | 60% |
| SMA 크로스오버 fast=59, slow=130 |
4.9% | -58.8% | 0.34 | 0.08 | 3.5x | 49 | 59% |
| 볼린저 밴드 돌파 n=52, k=2.1 |
2.9% | -34.7% | 0.26 | 0.08 | 2.2x | 93 | 30% |
| Supertrend period=11, mult=4.8 |
2.9% | -55.1% | 0.24 | 0.05 | 2.1x | 93 | 55% |
| ROC 모멘텀 n=77, threshold=-0.04 |
2.6% | -68.9% | 0.23 | 0.04 | 2.0x | 253 | 70% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=28, mult=2.3 |
2.3% | -55.5% | 0.22 | 0.04 | 1.8x | 121 | 35% |
| ADX / DI 방향성 period=30, threshold=27 |
0.3% | -32.2% | 0.08 | 0.01 | 1.1x | 31 | 8% |
| MACD fast=17, slow=52, signal=18 |
-1.5% | -62.4% | 0.03 | -0.02 | 0.7x | 284 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.4% | -78.3% | -0.02 | -0.03 | 0.5x | 202 | 51% |
| Buy and hold | 4.7% | -78.7% | 0.30 | 0.06 | 3.4x | 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 56 days
- Sell — Sell when price breaks below the lowest low of the last 78 days