Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Yang Ming Marine Transport Corp. backtest

10 trend-following strategies were compared on the full daily history of Yang Ming Marine Transport Corp.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.8%, MDD -46.0%).

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

10 of 10 beat buy and hold (CAGR 3.3%, drawdown -93.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.2%, MDD -60.7%, Sharpe 0.74, 23% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 8.8%, MDD -46.0%, exposure 4%).

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
ROC 모멘텀
n=138, threshold=0.19
17.2%-60.7%0.740.2868.6x10423%
볼린저 밴드 돌파
n=31, k=3.2
11.6%-48.6%0.630.2418.4x4610%
Donchian 채널 돌파
entryN=83, exitN=8
11.0%-53.3%0.610.2115.8x8212%
ADX / DI 방향성
period=51, threshold=28
8.8%-46.0%0.570.199.5x64%
Supertrend
period=24, mult=3.4
12.3%-64.4%0.550.1921.6x15841%
Keltner 채널 돌파
emaPeriod=48, atrPeriod=12, mult=3.2
10.9%-60.4%0.540.1815.7x7821%
Parabolic SAR
step=0.01, maxStep=0.18
12.4%-61.9%0.540.2022.4x29648%
EMA 크로스오버
fast=20, slow=80
11.5%-78.0%0.510.1518.2x7841%
SMA 크로스오버
fast=15, slow=78
10.1%-74.1%0.470.1412.9x10043%
MACD
fast=10, slow=59, signal=10
6.1%-67.8%0.350.094.8x41552%
Buy and hold3.3%-93.5%0.290.042.4x1100%
1x 10x 100x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -47% -70% -93% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -60.7% (2021-07-08 → 2021-10-22), prior peak not yet recovered.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

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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