Trend-Following Backtester · Guide · backtest 한국어
equity · CA
TMX Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of TMX Group Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -61.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -57.9%, Sharpe 0.57, 81% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=74 |
10.1% | -57.9% | 0.57 | 0.18 | 9.1x | 51 | 81% |
| Supertrend period=13, mult=4.7 |
8.9% | -43.1% | 0.57 | 0.21 | 7.0x | 65 | 63% |
| ADX / DI 방향성 period=36, threshold=13 |
6.5% | -30.0% | 0.53 | 0.22 | 4.2x | 136 | 45% |
| SMA 크로스오버 fast=18, slow=155 |
7.4% | -40.9% | 0.50 | 0.18 | 5.1x | 48 | 63% |
| EMA 크로스오버 fast=36, slow=83 |
7.3% | -40.7% | 0.49 | 0.18 | 5.0x | 54 | 65% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2.2 |
6.1% | -35.7% | 0.48 | 0.17 | 3.9x | 102 | 44% |
| ROC 모멘텀 n=90, threshold=-0.03 |
4.8% | -62.9% | 0.35 | 0.08 | 2.9x | 171 | 71% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.0% | -58.9% | 0.32 | 0.07 | 2.4x | 185 | 56% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
3.2% | -38.1% | 0.28 | 0.08 | 2.1x | 146 | 48% |
| MACD fast=22, slow=54, signal=27 |
3.1% | -56.1% | 0.27 | 0.06 | 2.0x | 197 | 48% |
| Buy and hold | 12.8% | -61.0% | 0.61 | 0.21 | 15.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 74 days