Trend-Following Backtester · Guide · backtest 한국어
equity · TW
CTBC Financial Holding Company Ltd. backtest
10 trend-following strategies were compared on the full daily history of CTBC Financial Holding Company Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.2%, MDD -43.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -72.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -43.5%, Sharpe 0.45, 86% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 29.0%p (CAGR 8.2%, MDD -43.5%, exposure 86%).
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 n=78, threshold=-0.1 |
8.2% | -43.5% | 0.45 | 0.19 | 6.8x | 141 | 86% |
| SMA 크로스오버 fast=57, slow=78 |
7.3% | -43.4% | 0.45 | 0.17 | 5.5x | 99 | 58% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
4.3% | -22.1% | 0.42 | 0.20 | 2.8x | 28 | 15% |
| Donchian 채널 돌파 entryN=28, exitN=94 |
6.9% | -69.8% | 0.40 | 0.10 | 5.0x | 45 | 80% |
| EMA 크로스오버 fast=54, slow=110 |
5.2% | -50.6% | 0.35 | 0.10 | 3.4x | 37 | 65% |
| Supertrend period=11, mult=5 |
4.1% | -58.1% | 0.30 | 0.07 | 2.6x | 75 | 61% |
| ADX / DI 방향성 period=36, threshold=22 |
1.3% | -39.2% | 0.19 | 0.03 | 1.4x | 29 | 11% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=1.9 |
1.1% | -63.1% | 0.15 | 0.02 | 1.3x | 146 | 43% |
| MACD fast=19, slow=56, signal=17 |
0.0% | -70.5% | 0.10 | 0.00 | 1.0x | 250 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.3% | -74.7% | 0.09 | -0.00 | 0.9x | 281 | 54% |
| Buy and hold | 8.6% | -72.5% | 0.43 | 0.12 | 7.4x | 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 78-day return is greater than -10%
- Sell — Sell when the 78-day return drops to -10% or below