Trend-Following Backtester · Guide · backtest 한국어
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Yuanta Daily Taiwan 50 Units backtest
10 trend-following strategies were compared on the full daily history of Yuanta Daily Taiwan 50 Units. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.0%, MDD -25.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.0%, drawdown -96.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 34.9%, MDD -37.2%, Sharpe 1.17, 71% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 29.9%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR 21.0%, MDD -25.1%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=21, slow=109 |
34.9% | -37.2% | 1.17 | 0.94 | 34.7x | 17 | 71% |
| Donchian 채널 돌파 entryN=8, exitN=46 |
33.9% | -45.5% | 1.09 | 0.75 | 32.0x | 39 | 87% |
| ROC 모멘텀 n=87, threshold=-0.09 |
31.9% | -40.9% | 1.03 | 0.78 | 26.6x | 43 | 81% |
| SMA 크로스오버 fast=42, slow=78 |
29.5% | -38.7% | 1.01 | 0.76 | 21.4x | 36 | 68% |
| Supertrend period=19, mult=4.6 |
25.1% | -37.7% | 0.99 | 0.67 | 14.2x | 50 | 64% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=2.4 |
21.0% | -25.1% | 0.96 | 0.84 | 9.6x | 58 | 52% |
| MACD fast=17, slow=39, signal=8 |
21.1% | -42.4% | 0.94 | 0.50 | 9.7x | 159 | 55% |
| ADX / DI 방향성 period=38, threshold=10 |
18.9% | -36.5% | 0.87 | 0.52 | 7.8x | 91 | 49% |
| Parabolic SAR step=0.02, maxStep=0.08 |
18.3% | -44.1% | 0.80 | 0.41 | 7.3x | 177 | 62% |
| 볼린저 밴드 돌파 n=51, k=0.7 |
17.8% | -39.8% | 0.78 | 0.45 | 7.0x | 84 | 59% |
| Buy and hold | 5.0% | -96.9% | 0.65 | 0.05 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 109-day EMA
- Sell — Sell when the 21-day EMA falls below the 109-day EMA