Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Tieto Corporation backtest
10 trend-following strategies were compared on the full daily history of Tieto Corporation. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.3%, MDD -6.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.4%, drawdown -91.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.3%, MDD -6.8%, Sharpe 0.14, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 0.5%, MDD -58.8%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 84.7%p (CAGR 0.3%, MDD -6.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=21, mult=3.9 |
0.3% | -6.8% | 0.14 | 0.04 | 1.1x | 8 | 1% |
| EMA 크로스오버 fast=97, slow=304 |
0.5% | -58.8% | 0.12 | 0.01 | 1.1x | 13 | 50% |
| ROC 모멘텀 n=90, threshold=-0.15 |
-1.7% | -70.0% | 0.08 | -0.02 | 0.6x | 119 | 82% |
| SMA 크로스오버 fast=71, slow=109 |
-1.0% | -72.6% | 0.07 | -0.01 | 0.8x | 69 | 51% |
| Donchian 채널 돌파 entryN=46, exitN=90 |
-2.2% | -72.3% | 0.04 | -0.03 | 0.6x | 43 | 67% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
0.0% | -22.7% | 0.04 | 0.00 | 1.0x | 22 | 5% |
| ADX / DI 방향성 period=16, threshold=37 |
-0.3% | -16.2% | -0.03 | -0.02 | 0.9x | 26 | 3% |
| Supertrend period=20, mult=3.7 |
-5.6% | -87.8% | -0.13 | -0.06 | 0.2x | 135 | 52% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-7.5% | -91.7% | -0.20 | -0.08 | 0.1x | 307 | 53% |
| MACD fast=15, slow=22, signal=14 |
-8.8% | -94.3% | -0.24 | -0.09 | 0.1x | 431 | 52% |
| Buy and hold | -4.4% | -91.5% | 0.06 | -0.05 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 10-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average