Trend-Following Backtester · Guide · backtest 한국어

equity · TW

WinWay Technology Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of WinWay Technology Co., Ltd.. 6 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 47.3%, MDD -39.3%).

Data 2019-11-19 ~ 2026-07-31daily bars 1,627 (6.7 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 41.3%, drawdown -69.5%).

Sharpe leader (same as main): MACD — CAGR 55.6%, MDD -41.6%, Sharpe 1.28, 52% exposure.

Return/drawdown alternative: Parabolic SAR — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 47.3%, MDD -39.3%, exposure 58%).

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
MACD
fast=20, slow=59, signal=17
55.6%-41.6%1.281.3419.3x5452%
Donchian 채널 돌파
entryN=13, exitN=22
52.8%-57.7%1.160.9217.1x3667%
Parabolic SAR
step=0.005, maxStep=0.2
47.3%-39.3%1.111.2013.4x4858%
ROC 모멘텀
n=90, threshold=-0.02
49.8%-44.0%1.081.1315.0x4664%
EMA 크로스오버
fast=25, slow=50
46.8%-45.8%1.051.0213.1x2064%
SMA 크로스오버
fast=10, slow=86
44.6%-42.7%1.021.0411.8x2262%
ADX / DI 방향성
period=10, threshold=38
23.2%-33.5%0.970.694.0x2816%
Supertrend
period=22, mult=3.5
36.9%-36.6%0.941.018.2x4057%
볼린저 밴드 돌파
n=56, k=1.8
28.6%-46.5%0.880.625.4x2842%
Keltner 채널 돌파
emaPeriod=27, atrPeriod=19, mult=2.1
27.0%-41.5%0.830.655.0x4436%
Buy and hold41.3%-69.5%0.880.6010.2x1100%
1x 10x 2020 2021 2022 2023 2024 2025 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -35% -52% -69% 2020 2021 2022 2023 2024 2025 2026 Buy and holdMACD
MACD maximum drawdown -41.6% (2020-08-04 → 2021-09-15), recovered after 478 days.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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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