Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Formosa Petrochemical Corp backtest
10 trend-following strategies were compared on the full daily history of Formosa Petrochemical Corp. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.3%, MDD -41.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -79.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -41.9%, Sharpe 0.32, 38% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 4.3%, MDD -41.9%, exposure 38%).
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=143, exitN=75 |
4.3% | -41.9% | 0.32 | 0.10 | 2.6x | 17 | 38% |
| SMA 크로스오버 fast=48, slow=137 |
4.2% | -51.9% | 0.31 | 0.08 | 2.5x | 35 | 52% |
| EMA 크로스오버 fast=56, slow=247 |
2.8% | -48.6% | 0.24 | 0.06 | 1.9x | 19 | 50% |
| ADX / DI 방향성 period=33, threshold=39 |
0.1% | -3.1% | 0.10 | 0.03 | 1.0x | 4 | 0% |
| ROC 모멘텀 n=136, threshold=0.02 |
-0.3% | -61.8% | 0.08 | -0.01 | 0.9x | 191 | 45% |
| Supertrend period=36, mult=5 |
-2.1% | -74.8% | -0.01 | -0.03 | 0.6x | 64 | 55% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=15, mult=3.8 |
-0.2% | -16.8% | -0.01 | -0.01 | 1.0x | 8 | 1% |
| 볼린저 밴드 돌파 n=58, k=2.8 |
-1.9% | -57.9% | -0.09 | -0.03 | 0.7x | 43 | 14% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.0% | -82.6% | -0.11 | -0.05 | 0.4x | 175 | 51% |
| MACD fast=16, slow=51, signal=18 |
-7.4% | -90.1% | -0.28 | -0.08 | 0.2x | 275 | 50% |
| Buy and hold | 3.1% | -79.2% | 0.25 | 0.04 | 2.0x | 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 143 days
- Sell — Sell when price breaks below the lowest low of the last 75 days