Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Mobile Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Mobile 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 4.8%, drawdown -34.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -34.0%, Sharpe 0.24, 66% 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=46, exitN=72 |
2.5% | -34.0% | 0.24 | 0.07 | 1.8x | 46 | 66% |
| SMA 크로스오버 fast=25, slow=275 |
2.4% | -47.0% | 0.23 | 0.05 | 1.8x | 37 | 60% |
| EMA 크로스오버 fast=38, slow=108 |
1.8% | -46.1% | 0.19 | 0.04 | 1.5x | 49 | 60% |
| ROC 모멘텀 n=147, threshold=-0.04 |
-0.8% | -59.7% | 0.04 | -0.01 | 0.8x | 175 | 73% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.1% | -12.2% | 0.03 | 0.00 | 1.0x | 10 | 2% |
| Supertrend period=17, mult=4.8 |
-1.4% | -56.2% | -0.01 | -0.02 | 0.7x | 68 | 56% |
| ADX / DI 방향성 period=38, threshold=25 |
-0.5% | -14.8% | -0.14 | -0.03 | 0.9x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-5.4% | -80.0% | -0.29 | -0.07 | 0.3x | 166 | 53% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=3.3 |
-2.4% | -50.0% | -0.32 | -0.05 | 0.6x | 44 | 8% |
| MACD fast=17, slow=38, signal=23 |
-6.4% | -81.6% | -0.41 | -0.08 | 0.2x | 276 | 52% |
| Buy and hold | 4.8% | -34.9% | 0.33 | 0.14 | 3.1x | 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 46 days
- Sell — Sell when price breaks below the lowest low of the last 72 days