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Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Novatek Microelectronics Corp. backtest

10 trend-following strategies were compared on the full daily history of Novatek Microelectronics Corp.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.3%, MDD -40.8%).

Data 2002-08-27 ~ 2026-08-31daily bars 5,939 (24.0 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-08-31

Results by strategy

4 of 10 beat buy and hold (CAGR 12.1%, drawdown -88.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.6%, MDD -51.0%, Sharpe 0.65, 76% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 15.3%, MDD -40.8%, exposure 56%).

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
Donchian 채널 돌파
entryN=17, exitN=58
17.6%-51.0%0.650.3448.7x6776%
SMA 크로스오버
fast=12, slow=62
15.3%-40.8%0.640.3830.7x10556%
EMA 크로스오버
fast=16, slow=85
13.1%-48.7%0.570.2719.2x8357%
볼린저 밴드 돌파
n=76, k=0.7
12.2%-59.2%0.560.2115.7x12950%
Keltner 채널 돌파
emaPeriod=141, atrPeriod=32, mult=3.9
11.2%-36.0%0.540.3112.9x4343%
Supertrend
period=17, mult=5
11.8%-53.3%0.530.2214.4x6855%
ADX / DI 방향성
period=18, threshold=38
5.0%-20.8%0.510.243.3x226%
ROC 모멘텀
n=87, threshold=0.02
9.6%-56.8%0.470.179.0x23553%
MACD
fast=19, slow=42, signal=23
8.2%-73.5%0.430.116.7x21152%
Parabolic SAR
step=0.005, maxStep=0.36
6.8%-71.3%0.380.094.8x18355%
Buy and hold12.1%-88.6%0.490.1415.4x1100%
1x 10x 2003 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -66% -89% 2003 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -51.0% (2006-03-15 → 2008-12-23), recovered after 1,118 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore TW assetsAll asset reports

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