Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Powerchip Semiconductor Manufacturing Corp. backtest

10 trend-following strategies were compared on the full daily history of Powerchip Semiconductor Manufacturing Corp.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.5%, MDD -22.7%).

Data 2020-12-09 ~ 2026-07-31daily bars 1,368 (5.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 0.1%, drawdown -84.9%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.2%, MDD -33.1%, Sharpe 1.02, 21% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.1%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 18.5%, MDD -22.7%, exposure 9%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=109, threshold=0.13
31.2%-33.1%1.020.944.6x2621%
ADX / DI 방향성
period=23, threshold=30
18.5%-22.7%0.850.822.6x49%
SMA 크로스오버
fast=16, slow=208
22.2%-44.1%0.790.503.1x321%
볼린저 밴드 돌파
n=40, k=3.1
20.0%-36.2%0.770.552.8x1218%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=21, mult=3
18.1%-33.5%0.750.542.6x1417%
EMA 크로스오버
fast=10, slow=194
19.8%-44.1%0.730.452.8x521%
Supertrend
period=18, mult=2.8
20.2%-46.3%0.730.442.8x3838%
Parabolic SAR
step=0.02, maxStep=0.02
17.6%-56.0%0.640.312.5x2843%
Donchian 채널 돌파
entryN=8, exitN=23
18.4%-60.0%0.630.312.6x3662%
MACD
fast=17, slow=57, signal=25
14.1%-51.8%0.570.272.1x3848%
Buy and hold0.1%-84.9%0.240.001.0x1100%
1x 2021 2022 2023 2024 2025 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -64% -85% 2021 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -33.1% (2026-02-25 → 2026-04-20), recovered after 92 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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