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Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Topco Scientific Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Topco Scientific Co., Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2000-05-25 ~ 2026-08-31daily bars 6,527 (26.3 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-08-31

Results by strategy

1 of 10 beat buy and hold (CAGR 17.0%, drawdown -82.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.0%, MDD -66.6%, Sharpe 0.71, 91% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=10, exitN=102
18.0%-66.6%0.710.2777.1x4391%
SMA 크로스오버
fast=44, slow=115
12.5%-47.8%0.620.2622.0x5556%
ROC 모멘텀
n=92, threshold=-0.07
12.5%-54.9%0.590.2322.2x17778%
Supertrend
period=7, mult=4.2
11.9%-71.6%0.590.1719.1x8162%
EMA 크로스오버
fast=16, slow=113
11.5%-52.6%0.570.2217.6x6768%
MACD
fast=17, slow=64, signal=19
9.2%-67.0%0.510.1410.0x20648%
Parabolic SAR
step=0.01, maxStep=0.2
9.2%-69.0%0.500.1310.2x25359%
ADX / DI 방향성
period=36, threshold=31
3.7%-33.8%0.420.112.6x1417%
볼린저 밴드 돌파
n=55, k=2.8
5.4%-46.4%0.400.124.0x6629%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=13, mult=1.2
6.6%-58.3%0.400.115.4x21847%
Buy and hold17.0%-82.4%0.640.2161.9x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -41% -62% -82% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -66.6% (2005-08-25 → 2009-01-20), recovered after 2,373 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 selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupMore TW assetsAll asset reports

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