Trend-Following Backtester · Guide · backtest 한국어
equity · BR
TIM S.A. backtest
10 trend-following strategies were compared on the full daily history of TIM S.A.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -69.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -12.8%, Sharpe 0.36, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.7%, MDD -44.6%, exposure 56%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.5 |
1.6% | -12.8% | 0.36 | 0.12 | 1.4x | 8 | 2% |
| SMA 크로스오버 fast=52, slow=262 |
4.7% | -44.6% | 0.31 | 0.11 | 2.6x | 26 | 56% |
| Donchian 채널 돌파 entryN=148, exitN=55 |
3.8% | -47.2% | 0.28 | 0.08 | 2.2x | 20 | 33% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=8, mult=3.4 |
2.8% | -38.0% | 0.25 | 0.07 | 1.8x | 40 | 23% |
| EMA 크로스오버 fast=77, slow=91 |
2.3% | -68.3% | 0.24 | 0.03 | 1.6x | 42 | 58% |
| ROC 모멘텀 n=121, threshold=-0.15 |
-0.8% | -80.7% | 0.17 | -0.01 | 0.8x | 112 | 86% |
| ADX / DI 방향성 period=38, threshold=18 |
1.1% | -49.9% | 0.15 | 0.02 | 1.3x | 44 | 17% |
| Supertrend period=10, mult=4.1 |
-1.9% | -90.4% | 0.12 | -0.02 | 0.7x | 82 | 63% |
| MACD fast=12, slow=46, signal=15 |
-7.2% | -87.9% | -0.12 | -0.08 | 0.2x | 280 | 49% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-10.1% | -94.9% | -0.20 | -0.11 | 0.1x | 308 | 53% |
| Buy and hold | 8.1% | -69.2% | 0.40 | 0.12 | 5.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 23-day middle average