Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Topoint Technology Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Topoint Technology Co., Ltd.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.0%, MDD -30.3%).

Data 2008-01-21 ~ 2026-07-31daily bars 4,539 (18.5 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 11.4%, drawdown -76.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.5%, MDD -39.1%, Sharpe 0.76, 36% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 11.0%, MDD -30.3%, exposure 6%).

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=64, exitN=37
19.5%-39.1%0.760.5027.0x3836%
볼린저 밴드 돌파
n=54, k=3.2
16.6%-35.9%0.720.4617.2x3422%
ADX / DI 방향성
period=32, threshold=32
11.0%-30.3%0.640.366.9x86%
Supertrend
period=4, mult=4.9
15.6%-64.6%0.610.2414.8x5857%
Keltner 채널 돌파
emaPeriod=49, atrPeriod=18, mult=1.6
14.1%-56.7%0.600.2511.5x10838%
SMA 크로스오버
fast=20, slow=132
14.9%-62.7%0.600.2413.2x4350%
EMA 크로스오버
fast=34, slow=97
14.9%-63.4%0.600.2313.1x4350%
ROC 모멘텀
n=116, threshold=0.01
13.7%-69.2%0.570.2010.8x17148%
Parabolic SAR
step=0.025, maxStep=0.24
4.8%-70.6%0.310.072.4x38850%
MACD
fast=14, slow=54, signal=17
-0.1%-71.7%0.14-0.001.0x23852%
Buy and hold11.4%-76.6%0.470.157.4x1100%
1x 10x 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -77% 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -39.1% (2021-07-26 → 2024-11-19), recovered after 1,444 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 setupAll asset reports

Read next