Trend-Following Backtester · Guide · backtest 한국어
equity · TW
First Financial Holding Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of First Financial Holding Co. 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 4.7%, MDD -42.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -67.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.7%, MDD -42.3%, Sharpe 0.33, 87% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 25.3%p (CAGR 4.7%, MDD -42.3%, exposure 87%).
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=115, threshold=-0.09 |
4.7% | -42.3% | 0.33 | 0.11 | 3.0x | 91 | 87% |
| SMA 크로스오버 fast=53, slow=127 |
2.5% | -36.3% | 0.23 | 0.07 | 1.8x | 51 | 62% |
| Donchian 채널 돌파 entryN=16, exitN=71 |
1.6% | -41.8% | 0.18 | 0.04 | 1.4x | 67 | 86% |
| Supertrend period=10, mult=4.5 |
1.4% | -41.0% | 0.17 | 0.03 | 1.4x | 91 | 52% |
| EMA 크로스오버 fast=18, slow=117 |
1.0% | -43.8% | 0.14 | 0.02 | 1.3x | 77 | 69% |
| MACD fast=29, slow=83, signal=19 |
-0.2% | -53.8% | 0.07 | -0.00 | 1.0x | 190 | 51% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
-0.9% | -45.9% | -0.02 | -0.02 | 0.8x | 56 | 17% |
| ADX / DI 방향성 period=31, threshold=22 |
-0.7% | -41.8% | -0.04 | -0.02 | 0.9x | 53 | 13% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.6% | -64.5% | -0.07 | -0.04 | 0.5x | 174 | 55% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=2.1 |
-2.2% | -49.2% | -0.10 | -0.04 | 0.6x | 146 | 36% |
| Buy and hold | 5.1% | -67.6% | 0.33 | 0.08 | 3.3x | 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 115-day return is greater than -9%
- Sell — Sell when the 115-day return drops to -9% or below