Trend-Following Backtester · Guide · backtest 한국어
equity · TW
TAIFLEX Scientific Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of TAIFLEX Scientific Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 76.5%, MDD -47.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 26.0%, drawdown -99.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -44.3%, Sharpe 0.48, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 76.5%, MDD -47.5%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 16.0%p lower than buy and hold, while drawdown improves by 55.5%p (CAGR 76.5%, MDD -47.5%, exposure 55%).
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=29, slow=190 |
10.0% | -44.3% | 0.48 | 0.23 | 5.6x | 27 | 50% |
| EMA 크로스오버 fast=53, slow=144 |
9.0% | -40.8% | 0.45 | 0.22 | 4.7x | 17 | 49% |
| ROC 모멘텀 n=146, threshold=0.07 |
6.8% | -47.4% | 0.38 | 0.14 | 3.3x | 103 | 39% |
| ADX / DI 방향성 period=39, threshold=26 |
4.1% | -38.3% | 0.31 | 0.11 | 2.1x | 7 | 8% |
| Supertrend period=10, mult=3.5 |
3.3% | -69.8% | 0.26 | 0.05 | 1.8x | 90 | 48% |
| MACD fast=17, slow=51, signal=19 |
39.7% | -97.6% | 0.24 | 0.41 | 416.2x | 181 | 52% |
| Donchian 채널 돌파 entryN=78, exitN=88 |
76.5% | -47.5% | 0.24 | 1.61 | 28026.8x | 19 | 55% |
| 볼린저 밴드 돌파 n=17, k=2.9 |
0.3% | -35.7% | 0.10 | 0.01 | 1.1x | 52 | 9% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=0.9 |
-2.6% | -69.5% | 0.03 | -0.04 | 0.6x | 198 | 39% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-7.0% | -81.1% | 0.00 | -0.09 | 0.3x | 132 | 46% |
| Buy and hold | 26.0% | -99.7% | 0.24 | 0.26 | 64.7x | 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 29-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 29-day average falls below the 190-day average