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Trend-Following Backtester · Guide · backtest 한국어

equity · TW

Kaori Heat Treatment Co., Ltd. backtest

10 trend-following strategies were compared on the full daily history of Kaori Heat Treatment Co., Ltd.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 25.0%, MDD -45.9%).

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

2 of 10 beat buy and hold (CAGR 25.1%, drawdown -67.3%).

Sharpe leader (same as main): MACD — CAGR 27.4%, MDD -50.8%, Sharpe 0.89, 51% exposure.

Return/drawdown alternative: Supertrend — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 25.0%, MDD -45.9%, exposure 51%).

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=13, slow=42, signal=11
27.4%-50.8%0.890.5490.2x24051%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=20, mult=2.1
20.6%-42.7%0.880.4832.6x10421%
Parabolic SAR
step=0.01, maxStep=0.12
25.3%-58.9%0.830.4366.1x21250%
Supertrend
period=26, mult=2.8
25.0%-45.9%0.830.5463.2x14851%
볼린저 밴드 돌파
n=59, k=1.9
23.4%-50.7%0.810.4649.8x6236%
Donchian 채널 돌파
entryN=50, exitN=34
23.9%-60.0%0.800.4053.7x4642%
ADX / DI 방향성
period=11, threshold=16
23.9%-57.1%0.780.4253.5x33254%
ROC 모멘텀
n=79, threshold=0.05
22.7%-59.1%0.750.3844.7x14247%
SMA 크로스오버
fast=20, slow=150
23.0%-56.3%0.730.4146.6x3153%
EMA 크로스오버
fast=38, slow=141
21.7%-60.9%0.710.3638.3x2954%
Buy and hold25.1%-67.3%0.720.3763.9x1100%
1x 10x 100x 2008 2011 2014 2017 2020 2023 2026 MACDBuy and hold
MACD: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -50% -67% 2008 2011 2014 2017 2020 2023 2026 Buy and holdMACD
MACD maximum drawdown -50.8% (2014-06-26 → 2017-09-04), recovered after 2,020 days.

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 carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore TW assetsAll asset reports

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