Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Kaori Heat Treatment Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Kaori Heat Treatment Co., Ltd.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 25.0%, MDD -45.9%).

Data 2007-12-31 ~ 2026-07-31daily bars 4,552 (18.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 25.1%, drawdown -67.3%).

Sharpe leader (same as main): MACD — CAGR 27.4%, MDD -50.8%, Sharpe 0.89, 51% exposure.

Return/drawdown alternative: Supertrend — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 25.0%, MDD -45.9%, exposure 51%).

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=13, slow=42, signal=11
27.4%-50.8%0.890.5490.2x24051%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=20, mult=2.1
20.6%-42.7%0.880.4832.6x10421%
Parabolic SAR
step=0.01, maxStep=0.12
25.3%-58.9%0.830.4366.1x21250%
Supertrend
period=26, mult=2.8
25.0%-45.9%0.830.5463.2x14851%
볼린저 밴드 돌파
n=59, k=1.9
23.4%-50.7%0.810.4649.8x6236%
Donchian 채널 돌파
entryN=50, exitN=34
23.9%-60.0%0.800.4053.7x4642%
ADX / DI 방향성
period=11, threshold=16
23.9%-57.1%0.780.4253.5x33254%
ROC 모멘텀
n=79, threshold=0.05
22.7%-59.1%0.750.3844.7x14247%
SMA 크로스오버
fast=20, slow=150
23.0%-56.3%0.730.4146.6x3153%
EMA 크로스오버
fast=38, slow=141
21.7%-60.9%0.710.3638.3x2954%
Buy and hold25.1%-67.3%0.720.3763.9x1100%
1x 10x 100x 2008 2011 2014 2017 2020 2023 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -50% -67% 2008 2011 2014 2017 2020 2023 2026 Buy and holdMACD
MACD maximum drawdown -50.8% (2014-06-26 → 2017-09-04), recovered after 2,020 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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