Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chunghwa Precision Test Tech Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chunghwa Precision Test Tech Co., Ltd.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 31.4%, MDD -36.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 29.7%, drawdown -75.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 32.9%, MDD -57.0%, Sharpe 1.19, 27% exposure.
CAGR reference leader: MACD — CAGR 34.0%, MDD -49.6%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 31.4%, MDD -36.1%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=10, threshold=33 |
32.9% | -57.0% | 1.19 | 0.58 | 26.4x | 94 | 27% |
| 볼린저 밴드 돌파 n=16, k=1.5 |
31.4% | -36.1% | 1.05 | 0.87 | 23.2x | 144 | 37% |
| MACD fast=11, slow=63, signal=16 |
34.0% | -49.6% | 1.05 | 0.69 | 29.3x | 120 | 49% |
| Supertrend period=10, mult=3 |
33.4% | -58.0% | 0.99 | 0.58 | 27.7x | 70 | 54% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=23, mult=1 |
27.0% | -56.8% | 0.92 | 0.48 | 15.8x | 124 | 40% |
| ROC 모멘텀 n=138, threshold=0.11 |
28.7% | -61.8% | 0.90 | 0.46 | 18.3x | 74 | 44% |
| SMA 크로스오버 fast=50, slow=184 |
29.4% | -52.9% | 0.88 | 0.56 | 19.5x | 13 | 53% |
| EMA 크로스오버 fast=8, slow=152 |
28.3% | -67.9% | 0.88 | 0.42 | 17.8x | 34 | 51% |
| Donchian 채널 돌파 entryN=126, exitN=36 |
23.8% | -51.8% | 0.87 | 0.46 | 11.7x | 16 | 31% |
| Parabolic SAR step=0.015, maxStep=0.18 |
25.8% | -45.7% | 0.84 | 0.56 | 14.1x | 178 | 51% |
| Buy and hold | 29.7% | -75.2% | 0.79 | 0.39 | 20.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 10-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)