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Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Phoenix Silicon International Corp. backtest

10 trend-following strategies were compared on the full daily history of Phoenix Silicon International Corp.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.5%, MDD -50.7%).

Data 2007-12-31 ~ 2026-08-31daily bars 4,573 (18.7 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-08-31

Results by strategy

2 of 10 beat buy and hold (CAGR 16.8%, drawdown -72.4%).

Sharpe leader (same as main): MACD — CAGR 6.4%, MDD -64.7%, Sharpe 0.36, 54% exposure.

CAGR reference leader: ROC 모멘텀 — CAGR 21.0%, MDD -65.5%, exposure 93%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.4%p lower than buy and hold, while drawdown improves by 7.8%p (CAGR 19.5%, MDD -50.7%, exposure 68%).

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
MACD
fast=15, slow=49, signal=17
6.4%-64.7%0.360.103.2x14254%
Supertrend
period=25, mult=3.2
6.3%-60.7%0.360.103.1x8034%
ADX / DI 방향성
period=39, threshold=11
4.8%-59.4%0.310.082.4x8033%
EMA 크로스오버
fast=32, slow=164
4.7%-59.3%0.300.082.4x2542%
ROC 모멘텀
n=14, threshold=-0.11
21.0%-65.5%0.300.3235.3x16193%
SMA 크로스오버
fast=49, slow=128
4.4%-66.8%0.300.072.3x2740%
Donchian 채널 돌파
entryN=98, exitN=79
19.5%-50.7%0.280.3827.6x1368%
Keltner 채널 돌파
emaPeriod=16, atrPeriod=18, mult=1.8
14.1%-59.4%0.250.2411.7x8636%
볼린저 밴드 돌파
n=15, k=2.3
2.5%-63.2%0.220.041.6x10614%
Parabolic SAR
step=0.04, maxStep=0.24
1.2%-75.6%0.180.021.2x33630%
Buy and hold16.8%-72.4%0.300.2318.0x1100%
1x 10x 2008 2011 2014 2017 2020 2023 2026 ROC 모멘텀MACDBuy and hold
MACD (Sharpe leader), ROC 모멘텀 (CAGR reference), Buy and hold.
0% -18% -36% -54% -72% 2008 2011 2014 2017 2020 2023 2026 Buy and holdROC 모멘텀MACD
MACD maximum drawdown -64.7% (2020-12-16 → 2024-05-20), prior peak not yet recovered.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

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 setupMore TW assetsAll asset reports

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