Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Chang Wah Technology Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chang Wah Technology Co., Ltd.. 0 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 38.1%, MDD -39.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 38.2%, drawdown -64.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.1%, MDD -39.8%, Sharpe 1.12, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 24.5%p (CAGR 38.1%, MDD -39.8%, exposure 60%).
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=54, exitN=65 |
38.1% | -39.8% | 1.12 | 0.96 | 35.8x | 15 | 60% |
| EMA 크로스오버 fast=29, slow=115 |
37.6% | -39.8% | 1.10 | 0.94 | 34.3x | 13 | 59% |
| SMA 크로스오버 fast=23, slow=182 |
36.1% | -39.8% | 1.08 | 0.91 | 30.3x | 11 | 55% |
| Supertrend period=4, mult=4.8 |
36.1% | -49.9% | 1.06 | 0.72 | 30.5x | 34 | 70% |
| 볼린저 밴드 돌파 n=16, k=1.8 |
27.0% | -36.8% | 1.02 | 0.73 | 14.2x | 130 | 37% |
| ROC 모멘텀 n=83, threshold=0.02 |
33.1% | -40.7% | 1.02 | 0.81 | 23.9x | 89 | 56% |
| ADX / DI 방향성 period=28, threshold=9 |
33.2% | -43.8% | 1.02 | 0.76 | 24.0x | 105 | 63% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=2.9 |
28.1% | -34.0% | 1.02 | 0.83 | 15.5x | 38 | 36% |
| Parabolic SAR step=0.025, maxStep=0.22 |
23.1% | -36.0% | 0.87 | 0.64 | 10.0x | 219 | 50% |
| MACD fast=15, slow=31, signal=15 |
20.2% | -49.2% | 0.79 | 0.41 | 7.7x | 143 | 50% |
| Buy and hold | 38.2% | -64.2% | 1.02 | 0.59 | 36.0x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 65 days