Trend-Following Backtester · Guide · backtest 한국어
equity · TW
ASE Technology Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of ASE Technology Holding Co., Ltd.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.5%, MDD -31.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.7%, drawdown -82.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -53.8%, Sharpe 0.53, 50% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 8.5%, MDD -31.6%, exposure 20%).
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=102, exitN=74 |
11.2% | -53.8% | 0.53 | 0.21 | 17.0x | 33 | 50% |
| SMA 크로스오버 fast=22, slow=112 |
11.1% | -49.9% | 0.51 | 0.22 | 16.3x | 85 | 57% |
| ROC 모멘텀 n=94, threshold=0.23 |
8.5% | -31.6% | 0.50 | 0.27 | 8.9x | 143 | 20% |
| EMA 크로스오버 fast=15, slow=168 |
10.4% | -50.1% | 0.49 | 0.21 | 13.9x | 67 | 58% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
7.1% | -55.4% | 0.43 | 0.13 | 6.2x | 70 | 26% |
| Supertrend period=9, mult=4.5 |
8.2% | -51.7% | 0.42 | 0.16 | 8.2x | 102 | 57% |
| ADX / DI 방향성 period=29, threshold=16 |
6.1% | -51.3% | 0.38 | 0.12 | 4.9x | 130 | 28% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=3.1 |
6.1% | -48.4% | 0.38 | 0.13 | 4.8x | 94 | 30% |
| Parabolic SAR step=0.01, maxStep=0.1 |
3.0% | -72.3% | 0.25 | 0.04 | 2.2x | 331 | 51% |
| MACD fast=25, slow=42, signal=23 |
2.0% | -69.6% | 0.21 | 0.03 | 1.7x | 238 | 51% |
| Buy and hold | 8.7% | -82.5% | 0.41 | 0.10 | 9.1x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 74 days