Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Chenbro Micom Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Chenbro Micom Co., 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 24.4%, MDD -45.8%).

Data 2007-12-31 ~ 2026-07-31daily bars 4,552 (18.6 years)Costs 0.5%Venue TWSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 24.2%, drawdown -65.8%).

Sharpe leader (same as main): Supertrend — CAGR 25.9%, MDD -49.0%, Sharpe 0.95, 52% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 24.4%, MDD -45.8%, exposure 55%).

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
Supertrend
period=18, mult=3
25.9%-49.0%0.950.5372.5x11252%
ADX / DI 방향성
period=14, threshold=7
24.4%-45.8%0.890.5357.4x29655%
SMA 크로스오버
fast=77, slow=200
25.8%-47.5%0.880.5471.1x2156%
Donchian 채널 돌파
entryN=12, exitN=27
25.1%-52.3%0.870.4863.8x10466%
ROC 모멘텀
n=144, threshold=-0.01
24.7%-49.1%0.850.5060.3x10759%
MACD
fast=15, slow=41, signal=14
21.0%-50.4%0.840.4234.4x21051%
볼린저 밴드 돌파
n=52, k=1.5
20.7%-43.2%0.830.4833.1x8039%
Keltner 채널 돌파
emaPeriod=50, atrPeriod=19, mult=2.1
20.4%-39.7%0.820.5131.6x8439%
Parabolic SAR
step=0.005, maxStep=0.28
19.7%-48.6%0.780.4028.2x13051%
EMA 크로스오버
fast=11, slow=70
21.4%-48.9%0.780.4436.6x8056%
Buy and hold24.2%-65.8%0.760.3756.0x1100%
1x 10x 2008 2011 2014 2017 2020 2023 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -33% -49% -66% 2008 2011 2014 2017 2020 2023 2026 Buy and holdSupertrend
Supertrend maximum drawdown -49.0% (2023-07-24 → 2025-04-22), recovered after 695 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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