Trend-Following Backtester · Guide · backtest 한국어
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Fubon TAIEX Daily 2X Leveraged ETF backtest
10 trend-following strategies were compared on the full daily history of Fubon TAIEX Daily 2X Leveraged ETF. 1 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 43.8%, MDD -36.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 40.5%, drawdown -55.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 43.8%, MDD -36.4%, Sharpe 1.30, 88% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 43.8%, MDD -36.4%, exposure 88%).
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=20, exitN=74 |
43.8% | -36.4% | 1.30 | 1.20 | 35.9x | 13 | 88% |
| EMA 크로스오버 fast=24, slow=61 |
39.4% | -36.4% | 1.27 | 1.08 | 26.4x | 21 | 76% |
| MACD fast=7, slow=70, signal=13 |
27.5% | -35.5% | 1.25 | 0.78 | 10.9x | 144 | 54% |
| SMA 크로스오버 fast=40, slow=54 |
37.5% | -38.8% | 1.25 | 0.97 | 23.1x | 41 | 69% |
| Supertrend period=22, mult=4.8 |
32.9% | -34.4% | 1.25 | 0.96 | 16.5x | 40 | 70% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=16, mult=2.5 |
24.6% | -21.8% | 1.14 | 1.13 | 8.7x | 58 | 48% |
| ADX / DI 방향성 period=32, threshold=11 |
25.4% | -32.2% | 1.07 | 0.79 | 9.3x | 86 | 55% |
| ROC 모멘텀 n=68, threshold=0.03 |
28.4% | -49.3% | 1.05 | 0.58 | 11.7x | 97 | 66% |
| Parabolic SAR step=0.03, maxStep=0.12 |
22.9% | -32.2% | 1.02 | 0.71 | 7.6x | 214 | 63% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
22.6% | -42.4% | 1.01 | 0.53 | 7.5x | 82 | 56% |
| Buy and hold | 40.5% | -55.2% | 1.10 | 0.73 | 28.5x | 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 20 days
- Sell — Sell when price breaks below the lowest low of the last 74 days