Trend-Following Backtester · Guide · backtest 한국어
equity · TW
ChipMOS Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of ChipMOS Technologies, Inc.. 9 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 4.6%, MDD -27.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.3%, drawdown -66.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -31.9%, Sharpe 0.59, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 4.6%, MDD -27.5%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=87, exitN=28 |
12.2% | -31.9% | 0.59 | 0.38 | 4.6x | 20 | 29% |
| EMA 크로스오버 fast=6, slow=46 |
10.1% | -60.2% | 0.49 | 0.17 | 3.6x | 82 | 49% |
| ADX / DI 방향성 period=20, threshold=35 |
4.6% | -27.5% | 0.45 | 0.17 | 1.8x | 18 | 6% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
8.2% | -50.8% | 0.43 | 0.16 | 2.9x | 58 | 40% |
| Parabolic SAR step=0.02, maxStep=0.22 |
6.7% | -45.3% | 0.39 | 0.15 | 2.4x | 230 | 51% |
| SMA 크로스오버 fast=43, slow=136 |
6.9% | -61.6% | 0.38 | 0.11 | 2.4x | 31 | 47% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=1.5 |
6.2% | -52.8% | 0.36 | 0.12 | 2.2x | 80 | 39% |
| ROC 모멘텀 n=57, threshold=0.02 |
6.4% | -69.9% | 0.36 | 0.09 | 2.3x | 132 | 48% |
| Supertrend period=24, mult=2 |
5.5% | -36.3% | 0.34 | 0.15 | 2.0x | 156 | 51% |
| MACD fast=16, slow=55, signal=6 |
2.2% | -49.4% | 0.22 | 0.04 | 1.3x | 210 | 52% |
| Buy and hold | 3.3% | -66.0% | 0.28 | 0.05 | 1.5x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 28 days