Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Taiwan Business Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiwan Business Bank, Ltd.. 3 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 5.2%, MDD -47.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.0%, drawdown -79.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 5.2%, MDD -47.3%, Sharpe 0.35, 52% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 32.3%p (CAGR 5.2%, MDD -47.3%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.3 |
5.2% | -47.3% | 0.35 | 0.11 | 3.9x | 289 | 52% |
| MACD fast=24, slow=70, signal=22 |
4.6% | -49.8% | 0.32 | 0.09 | 3.3x | 200 | 50% |
| Supertrend period=17, mult=4.1 |
4.3% | -49.3% | 0.31 | 0.09 | 3.1x | 113 | 55% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
2.7% | -42.5% | 0.24 | 0.06 | 2.0x | 89 | 32% |
| SMA 크로스오버 fast=49, slow=142 |
2.3% | -72.2% | 0.22 | 0.03 | 1.8x | 55 | 57% |
| ROC 모멘텀 n=104, threshold=-0.07 |
2.3% | -59.9% | 0.21 | 0.04 | 1.8x | 173 | 76% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=2 |
2.0% | -43.4% | 0.20 | 0.05 | 1.7x | 135 | 36% |
| Donchian 채널 돌파 entryN=11, exitN=65 |
1.4% | -69.0% | 0.18 | 0.02 | 1.4x | 95 | 85% |
| EMA 크로스오버 fast=38, slow=123 |
1.6% | -65.8% | 0.18 | 0.02 | 1.5x | 57 | 59% |
| ADX / DI 방향성 period=19, threshold=27 |
1.1% | -44.2% | 0.15 | 0.02 | 1.3x | 114 | 17% |
| Buy and hold | 3.0% | -79.6% | 0.25 | 0.04 | 2.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots