Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Cooperative Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Cooperative Financial Holding Co., Ltd.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 4.6%, MDD -38.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.8%, drawdown -80.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -49.6%, Sharpe 0.33, 57% exposure.
CAGR reference leader: Parabolic SAR — CAGR 4.6%, MDD -38.4%, exposure 51%.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 4.6%, MDD -38.4%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=122 |
4.5% | -49.6% | 0.33 | 0.09 | 3.2x | 57 | 57% |
| Parabolic SAR step=0.01, maxStep=0.22 |
4.6% | -38.4% | 0.32 | 0.12 | 3.3x | 295 | 51% |
| 볼린저 밴드 돌파 n=43, k=1.7 |
3.7% | -43.3% | 0.31 | 0.09 | 2.6x | 131 | 35% |
| Supertrend period=5, mult=3.5 |
3.6% | -67.1% | 0.28 | 0.05 | 2.6x | 153 | 53% |
| Donchian 채널 돌파 entryN=103, exitN=42 |
3.1% | -44.8% | 0.27 | 0.07 | 2.3x | 51 | 36% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=21, mult=3 |
2.8% | -38.8% | 0.26 | 0.07 | 2.1x | 87 | 29% |
| EMA 크로스오버 fast=8, slow=204 |
2.3% | -50.8% | 0.21 | 0.04 | 1.8x | 89 | 61% |
| ADX / DI 방향성 period=24, threshold=18 |
1.5% | -56.0% | 0.17 | 0.03 | 1.5x | 171 | 31% |
| MACD fast=12, slow=30, signal=19 |
0.9% | -67.1% | 0.15 | 0.01 | 1.3x | 361 | 50% |
| ROC 모멘텀 n=129, threshold=-0.04 |
-0.0% | -67.3% | 0.10 | -0.00 | 1.0x | 205 | 70% |
| Buy and hold | 2.8% | -80.9% | 0.24 | 0.03 | 2.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 54-day average falls below the 122-day average