Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Fubon Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fubon Financial Holding Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -57.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -56.7%, Sharpe 0.43, 51% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=73, exitN=64 |
6.4% | -56.7% | 0.43 | 0.11 | 4.6x | 37 | 51% |
| SMA 크로스오버 fast=12, slow=149 |
6.1% | -54.0% | 0.40 | 0.11 | 4.3x | 65 | 58% |
| EMA 크로스오버 fast=46, slow=69 |
5.4% | -53.3% | 0.37 | 0.10 | 3.7x | 59 | 59% |
| ADX / DI 방향성 period=39, threshold=23 |
2.3% | -18.1% | 0.33 | 0.13 | 1.8x | 15 | 6% |
| Supertrend period=9, mult=4.8 |
2.8% | -70.8% | 0.24 | 0.04 | 2.0x | 89 | 61% |
| ROC 모멘텀 n=138, threshold=0.13 |
1.1% | -48.9% | 0.15 | 0.02 | 1.3x | 197 | 28% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.4% | -64.9% | 0.12 | 0.01 | 1.1x | 185 | 52% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
0.5% | -34.1% | 0.11 | 0.02 | 1.1x | 30 | 11% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=25, mult=3.8 |
0.4% | -62.0% | 0.10 | 0.01 | 1.1x | 59 | 17% |
| MACD fast=20, slow=34, signal=22 |
-2.4% | -78.1% | -0.03 | -0.03 | 0.5x | 261 | 49% |
| Buy and hold | 7.8% | -57.3% | 0.41 | 0.14 | 6.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 73 days
- Sell — Sell when price breaks below the lowest low of the last 64 days