Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Hua Nan Financial Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hua Nan Financial Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -55.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.4%, MDD -56.9%, Sharpe 0.42, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=19, threshold=-0.13 |
7.4% | -56.9% | 0.42 | 0.13 | 5.9x | 53 | 98% |
| EMA 크로스오버 fast=77, slow=211 |
5.1% | -50.9% | 0.36 | 0.10 | 3.4x | 27 | 71% |
| SMA 크로스오버 fast=57, slow=212 |
4.7% | -56.1% | 0.34 | 0.08 | 3.1x | 27 | 65% |
| Donchian 채널 돌파 entryN=11, exitN=64 |
3.8% | -49.2% | 0.28 | 0.08 | 2.5x | 77 | 88% |
| Supertrend period=15, mult=2.8 |
0.6% | -53.3% | 0.13 | 0.01 | 1.2x | 187 | 59% |
| Parabolic SAR step=0.015, maxStep=0.34 |
0.0% | -69.4% | 0.10 | 0.00 | 1.0x | 389 | 54% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
0.4% | -37.6% | 0.09 | 0.01 | 1.1x | 65 | 12% |
| ADX / DI 방향성 period=30, threshold=31 |
0.2% | -18.6% | 0.08 | 0.01 | 1.1x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=29, mult=1.9 |
-0.3% | -46.3% | 0.06 | -0.01 | 0.9x | 153 | 39% |
| MACD fast=10, slow=39, signal=17 |
-1.9% | -71.4% | -0.01 | -0.03 | 0.6x | 367 | 51% |
| Buy and hold | 8.3% | -55.8% | 0.44 | 0.15 | 7.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 19-day return is greater than -13%
- Sell — Sell when the 19-day return drops to -13% or below