Trend-Following Backtester · Guide · backtest 한국어
equity · CN
TBEA Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of TBEA Co., Ltd. Class A. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.0%, MDD -29.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.1%, drawdown -72.9%).
Sharpe leader (same as main): Supertrend — CAGR 19.1%, MDD -60.0%, Sharpe 0.72, 56% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 12.9%p (CAGR 11.0%, MDD -29.8%, exposure 17%).
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=5 |
19.1% | -60.0% | 0.72 | 0.32 | 163.1x | 62 | 56% |
| EMA 크로스오버 fast=55, slow=83 |
17.0% | -58.0% | 0.66 | 0.29 | 98.6x | 48 | 53% |
| Donchian 채널 돌파 entryN=85, exitN=77 |
16.7% | -51.2% | 0.66 | 0.33 | 90.5x | 36 | 53% |
| SMA 크로스오버 fast=59, slow=81 |
15.7% | -55.8% | 0.63 | 0.28 | 70.9x | 102 | 52% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=8, mult=2.8 |
11.0% | -29.8% | 0.61 | 0.37 | 20.8x | 72 | 17% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
10.1% | -46.8% | 0.57 | 0.22 | 16.7x | 118 | 17% |
| ROC 모멘텀 n=105, threshold=-0.02 |
13.4% | -68.1% | 0.55 | 0.20 | 39.1x | 264 | 58% |
| ADX / DI 방향성 period=15, threshold=19 |
10.4% | -49.6% | 0.50 | 0.21 | 18.0x | 350 | 38% |
| Parabolic SAR step=0.005, maxStep=0.06 |
10.5% | -72.0% | 0.50 | 0.15 | 18.7x | 220 | 48% |
| MACD fast=14, slow=58, signal=17 |
9.5% | -82.2% | 0.46 | 0.12 | 14.2x | 332 | 51% |
| Buy and hold | 13.1% | -72.9% | 0.51 | 0.18 | 36.6x | 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, 5× band
- Sell — Sell when price drops below the trend line (flips down)