Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Micro-Star International Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Micro-Star International Co., Ltd.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -38.8%).

Data 2000-01-04 ~ 2026-07-31daily bars 6,608 (26.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 4.8%, drawdown -84.6%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.4%, MDD -50.5%, Sharpe 0.60, 34% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 8.1%, MDD -38.8%, exposure 19%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=51, k=1.7
12.4%-50.5%0.600.2522.3x10434%
Keltner 채널 돌파
emaPeriod=42, atrPeriod=11, mult=3.6
8.1%-38.8%0.510.218.0x5619%
Supertrend
period=20, mult=3.6
10.1%-81.6%0.480.1212.9x13550%
Donchian 채널 돌파
entryN=37, exitN=12
7.7%-60.7%0.440.137.2x11928%
EMA 크로스오버
fast=36, slow=47
8.7%-57.6%0.440.159.2x8949%
SMA 크로스오버
fast=21, slow=149
7.7%-51.5%0.410.157.2x6348%
ADX / DI 방향성
period=30, threshold=12
6.9%-78.6%0.380.095.9x21941%
MACD
fast=21, slow=38, signal=22
4.8%-77.0%0.310.063.5x25052%
ROC 모멘텀
n=148, threshold=0.09
4.6%-56.5%0.310.083.3x13739%
Parabolic SAR
step=0.005, maxStep=0.08
3.7%-87.0%0.270.042.6x20150%
Buy and hold4.8%-84.6%0.320.063.5x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -85% 2001 2005 2009 2013 2017 2021 2025 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -50.5% (2002-01-25 → 2006-10-26), recovered after 2,026 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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