Trend-Following Backtester · Guide · backtest 한국어
etf · US
Taiwan Fund, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Taiwan Fund, Inc. (The). 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.6%, drawdown -86.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.8%, MDD -79.5%, Sharpe 0.34, 85% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=9, exitN=75 |
5.8% | -79.5% | 0.34 | 0.07 | 9.4x | 135 | 85% |
| EMA 크로스오버 fast=31, slow=32 |
4.6% | -81.5% | 0.31 | 0.06 | 5.9x | 182 | 57% |
| Supertrend period=16, mult=4.9 |
3.7% | -86.5% | 0.27 | 0.04 | 4.3x | 186 | 56% |
| SMA 크로스오버 fast=32, slow=262 |
3.2% | -61.8% | 0.26 | 0.05 | 3.5x | 45 | 56% |
| ROC 모멘텀 n=58, threshold=-0.12 |
3.2% | -79.8% | 0.26 | 0.04 | 3.5x | 280 | 83% |
| Parabolic SAR step=0.01, maxStep=0.32 |
2.0% | -90.8% | 0.20 | 0.02 | 2.2x | 454 | 53% |
| ADX / DI 방향성 period=17, threshold=34 |
1.3% | -47.5% | 0.18 | 0.03 | 1.6x | 82 | 7% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=19, mult=1.4 |
0.8% | -91.0% | 0.15 | 0.01 | 1.4x | 356 | 43% |
| 볼린저 밴드 돌파 n=30, k=2.9 |
0.9% | -57.6% | 0.14 | 0.02 | 1.4x | 78 | 11% |
| MACD fast=17, slow=53, signal=22 |
-0.3% | -86.7% | 0.10 | -0.00 | 0.9x | 384 | 51% |
| Buy and hold | 4.6% | -86.9% | 0.30 | 0.05 | 5.9x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 75 days