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; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -61.0%).
Sharpe leader (same as main): Supertrend — CAGR 9.1%, MDD -43.1%, Sharpe 0.59, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.4%, MDD -57.9%, exposure 81%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=4.7 |
9.1% | -43.1% | 0.59 | 0.21 | 7.4x | 65 | 63% |
| Donchian 채널 돌파 entryN=18, exitN=74 |
10.4% | -57.9% | 0.58 | 0.18 | 9.6x | 51 | 81% |
| ADX / DI 방향성 period=36, threshold=13 |
6.5% | -30.0% | 0.52 | 0.22 | 4.2x | 136 | 44% |
| SMA 크로스오버 fast=18, slow=155 |
7.5% | -40.9% | 0.50 | 0.18 | 5.3x | 49 | 63% |
| EMA 크로스오버 fast=36, slow=83 |
7.5% | -40.7% | 0.49 | 0.18 | 5.2x | 55 | 65% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2.2 |
6.2% | -35.7% | 0.49 | 0.17 | 3.9x | 103 | 44% |
| ROC 모멘텀 n=90, threshold=-0.03 |
5.1% | -62.9% | 0.36 | 0.08 | 3.1x | 171 | 71% |
| Parabolic SAR step=0.005, maxStep=0.28 |
4.2% | -58.9% | 0.33 | 0.07 | 2.6x | 185 | 56% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
3.3% | -38.1% | 0.29 | 0.09 | 2.1x | 147 | 48% |
| MACD fast=22, slow=54, signal=27 |
3.3% | -56.1% | 0.28 | 0.06 | 2.1x | 197 | 48% |
| Buy and hold | 13.0% | -61.0% | 0.62 | 0.21 | 16.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)