Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Glass Industry Corp. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Glass Industry Corp.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.4%, MDD -55.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.0%, drawdown -86.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -55.9%, Sharpe 0.43, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.5%, MDD -65.7%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 7.4%, MDD -55.9%, exposure 18%).
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=30, threshold=24 |
7.4% | -55.9% | 0.43 | 0.13 | 6.6x | 48 | 18% |
| SMA 크로스오버 fast=24, slow=178 |
7.5% | -65.7% | 0.39 | 0.11 | 6.9x | 47 | 51% |
| EMA 크로스오버 fast=57, slow=180 |
6.7% | -66.0% | 0.36 | 0.10 | 5.6x | 35 | 51% |
| Donchian 채널 돌파 entryN=7, exitN=76 |
5.2% | -80.8% | 0.32 | 0.06 | 3.8x | 106 | 85% |
| Supertrend period=8, mult=4.4 |
3.7% | -68.2% | 0.27 | 0.05 | 2.7x | 98 | 49% |
| ROC 모멘텀 n=103, threshold=-0.03 |
3.5% | -73.6% | 0.27 | 0.05 | 2.5x | 270 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=1.1 |
2.5% | -80.8% | 0.23 | 0.03 | 1.9x | 198 | 41% |
| MACD fast=18, slow=22, signal=19 |
1.6% | -62.0% | 0.20 | 0.03 | 1.5x | 314 | 51% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
0.6% | -84.9% | 0.16 | 0.01 | 1.2x | 124 | 34% |
| Parabolic SAR step=0.015, maxStep=0.06 |
-0.4% | -72.2% | 0.13 | -0.01 | 0.9x | 330 | 49% |
| Buy and hold | 7.0% | -86.0% | 0.37 | 0.08 | 6.0x | 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, 30-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)