Trend-Following Backtester · Guide · backtest 한국어

equity · TW

ShunSin Technology Holdings Ltd. backtest

10 trend-following strategies were compared on the full daily history of ShunSin Technology Holdings Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 19.3%, MDD -42.7%).

Data 2015-01-26 ~ 2026-07-31daily bars 2,800 (11.5 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 6.7%, drawdown -71.9%).

Sharpe leader (same as main): Supertrend — CAGR 21.7%, MDD -57.0%, Sharpe 0.72, 44% exposure.

Return/drawdown alternative: Parabolic SAR — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 19.3%, MDD -42.7%, exposure 48%).

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
Supertrend
period=20, mult=2.4
21.7%-57.0%0.720.389.6x10644%
Parabolic SAR
step=0.01, maxStep=0.26
19.3%-42.7%0.660.457.6x14048%
MACD
fast=10, slow=42, signal=9
19.1%-67.1%0.650.297.5x19048%
볼린저 밴드 돌파
n=29, k=1.3
14.6%-43.1%0.570.344.8x9837%
SMA 크로스오버
fast=8, slow=24
11.7%-57.5%0.480.203.6x12648%
Donchian 채널 돌파
entryN=93, exitN=74
10.6%-52.9%0.460.203.2x1246%
ROC 모멘텀
n=123, threshold=-0.04
10.4%-57.6%0.450.183.1x8157%
ADX / DI 방향성
period=12, threshold=13
8.6%-59.1%0.410.152.6x22654%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=22, mult=1.6
6.6%-53.7%0.360.122.1x7633%
EMA 크로스오버
fast=42, slow=124
2.5%-70.7%0.270.041.3x2348%
Buy and hold6.7%-71.9%0.400.092.1x1100%
1x 10x 2016 2018 2020 2022 2024 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -36% -54% -72% 2016 2018 2020 2022 2024 2026 Buy and holdSupertrend
Supertrend maximum drawdown -57.0% (2024-06-28 → 2026-01-30), recovered after 657 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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 setupAll asset reports

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