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.. 8 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 12.1%, MDD -31.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.9%, drawdown -66.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -31.9%, Sharpe 0.59, 28% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 12.1%, MDD -31.9%, exposure 28%).
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 |
12.1% | -31.9% | 0.59 | 0.38 | 4.6x | 20 | 28% |
| EMA 크로스오버 fast=6, slow=46 |
10.0% | -60.2% | 0.49 | 0.17 | 3.6x | 82 | 48% |
| ADX / DI 방향성 period=20, threshold=35 |
4.5% | -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% |
| SMA 크로스오버 fast=43, slow=136 |
8.5% | -61.6% | 0.43 | 0.14 | 3.0x | 31 | 48% |
| Parabolic SAR step=0.02, maxStep=0.22 |
6.7% | -45.3% | 0.38 | 0.15 | 2.4x | 232 | 51% |
| ROC 모멘텀 n=57, threshold=0.02 |
6.6% | -69.9% | 0.37 | 0.09 | 2.4x | 136 | 48% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=27, mult=1.5 |
6.2% | -52.8% | 0.36 | 0.12 | 2.2x | 80 | 39% |
| Supertrend period=24, mult=2 |
5.6% | -36.3% | 0.35 | 0.15 | 2.1x | 157 | 51% |
| MACD fast=16, slow=55, signal=6 |
1.0% | -49.4% | 0.17 | 0.02 | 1.1x | 213 | 52% |
| Buy and hold | 4.9% | -66.0% | 0.32 | 0.07 | 1.9x | 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