Trend-Following Backtester · Guide · backtest 한국어
equity · TW
TS Financial Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of TS Financial Holding Co., Ltd.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.3%, MDD -54.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.6%, drawdown -83.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.4%, MDD -62.8%, Sharpe 0.50, 80% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 8.3%, MDD -54.5%, exposure 60%).
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=24, exitN=77 |
9.4% | -62.8% | 0.50 | 0.15 | 9.1x | 57 | 80% |
| Supertrend period=21, mult=4.8 |
8.3% | -54.5% | 0.48 | 0.15 | 7.1x | 83 | 60% |
| ROC 모멘텀 n=70, threshold=-0.09 |
8.7% | -61.3% | 0.48 | 0.14 | 7.7x | 167 | 82% |
| EMA 크로스오버 fast=8, slow=95 |
7.2% | -61.2% | 0.45 | 0.12 | 5.5x | 109 | 60% |
| SMA 크로스오버 fast=14, slow=100 |
7.0% | -55.3% | 0.44 | 0.13 | 5.2x | 83 | 59% |
| Parabolic SAR step=0.015, maxStep=0.1 |
5.3% | -65.5% | 0.36 | 0.08 | 3.6x | 323 | 55% |
| 볼린저 밴드 돌파 n=29, k=1.2 |
5.0% | -46.0% | 0.36 | 0.11 | 3.3x | 251 | 46% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=28, mult=1.9 |
4.0% | -39.7% | 0.32 | 0.10 | 2.6x | 171 | 33% |
| ADX / DI 방향성 period=33, threshold=24 |
2.7% | -25.3% | 0.31 | 0.11 | 1.9x | 35 | 12% |
| MACD fast=13, slow=57, signal=18 |
3.4% | -62.1% | 0.27 | 0.05 | 2.3x | 280 | 50% |
| Buy and hold | 8.6% | -83.5% | 0.43 | 0.10 | 7.6x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 77 days