Trend-Following Backtester · Guide · backtest 한국어
equity · CN
TDG Holding Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of TDG Holding Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.8%, MDD -54.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.9%, drawdown -86.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.9%, MDD -74.6%, Sharpe 0.42, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 12.0%p (CAGR 6.8%, MDD -54.5%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.02 |
8.9% | -74.6% | 0.42 | 0.12 | 8.9x | 136 | 46% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
7.7% | -55.6% | 0.40 | 0.14 | 6.7x | 66 | 27% |
| ADX / DI 방향성 period=28, threshold=11 |
7.9% | -65.9% | 0.40 | 0.12 | 7.0x | 246 | 47% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=2.7 |
6.8% | -54.5% | 0.37 | 0.12 | 5.3x | 90 | 26% |
| Donchian 채널 돌파 entryN=37, exitN=46 |
6.5% | -80.2% | 0.36 | 0.08 | 5.0x | 70 | 52% |
| MACD fast=19, slow=54, signal=23 |
6.3% | -71.6% | 0.35 | 0.09 | 4.8x | 226 | 50% |
| Supertrend period=11, mult=4.9 |
6.0% | -70.8% | 0.35 | 0.09 | 4.5x | 76 | 56% |
| SMA 크로스오버 fast=14, slow=195 |
5.9% | -79.3% | 0.34 | 0.07 | 4.3x | 53 | 45% |
| ROC 모멘텀 n=110, threshold=0.03 |
5.9% | -79.4% | 0.34 | 0.07 | 4.3x | 180 | 45% |
| EMA 크로스오버 fast=23, slow=168 |
4.7% | -88.3% | 0.31 | 0.05 | 3.2x | 47 | 45% |
| Buy and hold | 2.9% | -86.6% | 0.31 | 0.03 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots