Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Tong Hsing Electronic Industries ,Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tong Hsing Electronic Industries ,Ltd.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -41.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.9%, drawdown -75.0%).
Sharpe leader (same as main): Supertrend — CAGR 9.4%, MDD -58.9%, Sharpe 0.44, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 16.1%p (CAGR 4.5%, MDD -41.4%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.8 |
9.4% | -58.9% | 0.44 | 0.16 | 5.4x | 44 | 59% |
| SMA 크로스오버 fast=8, slow=208 |
9.1% | -53.1% | 0.44 | 0.17 | 5.1x | 39 | 56% |
| ROC 모멘텀 n=145, threshold=-0.03 |
6.9% | -57.0% | 0.37 | 0.12 | 3.5x | 141 | 59% |
| EMA 크로스오버 fast=17, slow=150 |
5.8% | -67.5% | 0.34 | 0.09 | 2.9x | 47 | 55% |
| Donchian 채널 돌파 entryN=93, exitN=51 |
5.5% | -55.0% | 0.33 | 0.10 | 2.7x | 26 | 43% |
| ADX / DI 방향성 period=38, threshold=18 |
4.5% | -41.4% | 0.33 | 0.11 | 2.3x | 36 | 15% |
| MACD fast=13, slow=24, signal=17 |
2.4% | -55.1% | 0.23 | 0.04 | 1.6x | 273 | 51% |
| 볼린저 밴드 돌파 n=26, k=1.5 |
1.0% | -64.6% | 0.17 | 0.01 | 1.2x | 175 | 35% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.3% | -82.5% | 0.14 | -0.00 | 0.9x | 139 | 50% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=1.9 |
0.1% | -73.2% | 0.13 | 0.00 | 1.0x | 110 | 33% |
| Buy and hold | 4.9% | -75.0% | 0.33 | 0.06 | 2.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)