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Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Wafer Works Corp. backtest

10 trend-following strategies were compared on the full daily history of Wafer Works Corp.. 10 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 6.5%, MDD -40.1%).

Data 2007-12-31 ~ 2026-08-31daily bars 4,573 (18.7 years)Costs 0.5%Venue TPEXMonthly snapshot 2026-08-31

Results by strategy

10 of 10 beat buy and hold (CAGR -2.0%, drawdown -94.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -68.3%, Sharpe 0.51, 30% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 6.5%, MDD -40.1%, exposure 4%).

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
Donchian 채널 돌파
entryN=109, exitN=48
11.5%-68.3%0.510.177.6x2130%
ADX / DI 방향성
period=24, threshold=35
6.5%-40.1%0.490.163.2x84%
볼린저 밴드 돌파
n=20, k=1.3
10.6%-59.8%0.490.186.6x21237%
EMA 크로스오버
fast=51, slow=201
10.6%-60.4%0.490.186.6x1730%
MACD
fast=9, slow=23, signal=19
10.7%-64.6%0.480.176.7x26752%
SMA 크로스오버
fast=22, slow=168
10.7%-76.4%0.470.146.7x3744%
Keltner 채널 돌파
emaPeriod=19, atrPeriod=24, mult=1
9.7%-62.3%0.470.165.7x21434%
Supertrend
period=13, mult=1.6
9.9%-71.5%0.460.145.8x29245%
ROC 모멘텀
n=140, threshold=0.1
9.1%-78.4%0.450.125.1x11130%
Parabolic SAR
step=0.02, maxStep=0.26
8.7%-71.0%0.420.124.7x34348%
Buy and hold-2.0%-94.9%0.20-0.020.7x1100%
0.1 1x 10x 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -47% -71% -95% 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -68.3% (2009-07-28 → 2016-03-29), recovered after 3,006 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore TW assetsAll asset reports

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