Trend-Following Backtester · Guide · backtest 한국어
etf · US
Franklin FTSE Taiwan ETF backtest
10 trend-following strategies were compared on the full daily history of Franklin FTSE Taiwan ETF. 1 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 16.5%, MDD -21.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.5%, drawdown -38.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -21.5%, Sharpe 0.93, 72% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 16.5%, MDD -21.5%, exposure 72%).
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=37, exitN=65 |
16.5% | -21.5% | 0.93 | 0.77 | 3.7x | 13 | 72% |
| SMA 크로스오버 fast=50, slow=93 |
14.9% | -21.5% | 0.89 | 0.70 | 3.3x | 19 | 64% |
| EMA 크로스오버 fast=25, slow=69 |
14.2% | -21.5% | 0.85 | 0.66 | 3.1x | 19 | 68% |
| ROC 모멘텀 n=87, threshold=-0.06 |
13.4% | -26.1% | 0.76 | 0.52 | 3.0x | 41 | 80% |
| Supertrend period=22, mult=5 |
10.2% | -26.4% | 0.68 | 0.39 | 2.3x | 50 | 65% |
| MACD fast=22, slow=48, signal=20 |
9.1% | -30.2% | 0.67 | 0.30 | 2.1x | 82 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=1.4 |
9.2% | -24.3% | 0.65 | 0.38 | 2.1x | 58 | 57% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
8.2% | -31.3% | 0.65 | 0.26 | 2.0x | 46 | 43% |
| ADX / DI 방향성 period=15, threshold=19 |
4.6% | -25.6% | 0.41 | 0.18 | 1.5x | 92 | 35% |
| Parabolic SAR step=0.01, maxStep=0.12 |
4.9% | -34.8% | 0.39 | 0.14 | 1.5x | 116 | 57% |
| Buy and hold | 16.5% | -38.0% | 0.79 | 0.43 | 3.7x | 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 37 days
- Sell — Sell when price breaks below the lowest low of the last 65 days