Trend-Following Backtester · Guide · backtest 한국어
equity · GB
TBC Bank Group Plc backtest
10 trend-following strategies were compared on the full daily history of TBC Bank Group Plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.5%, MDD -40.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 16.5%, drawdown -66.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.0%, MDD -61.5%, Sharpe 0.73, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 5.0%p (CAGR 15.5%, MDD -40.0%, exposure 61%).
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 Hold-like · Exposure 96% entryN=1, exitN=65 |
21.0% | -61.5% | 0.73 | 0.34 | 6.8x | 31 | 96% |
| SMA 크로스오버 fast=76, slow=103 |
15.5% | -40.0% | 0.66 | 0.39 | 4.3x | 28 | 61% |
| EMA 크로스오버 fast=30, slow=79 |
8.4% | -47.0% | 0.43 | 0.18 | 2.2x | 27 | 62% |
| MACD fast=11, slow=48, signal=12 |
6.7% | -53.2% | 0.38 | 0.13 | 1.9x | 139 | 49% |
| ROC 모멘텀 n=96, threshold=0.04 |
5.9% | -50.6% | 0.36 | 0.12 | 1.8x | 111 | 52% |
| Supertrend period=23, mult=4.6 |
5.1% | -45.6% | 0.32 | 0.11 | 1.6x | 35 | 57% |
| 볼린저 밴드 돌파 n=27, k=3 |
2.8% | -25.0% | 0.29 | 0.11 | 1.3x | 24 | 14% |
| Parabolic SAR step=0.015, maxStep=0.26 |
4.2% | -61.9% | 0.29 | 0.07 | 1.5x | 177 | 53% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=11, mult=3.8 |
1.6% | -13.1% | 0.25 | 0.12 | 1.2x | 8 | 5% |
| ADX / DI 방향성 period=21, threshold=37 |
0.7% | -9.3% | 0.17 | 0.07 | 1.1x | 4 | 2% |
| Buy and hold | 16.5% | -66.5% | 0.60 | 0.25 | 4.6x | 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 1 days
- Sell — Sell when price breaks below the lowest low of the last 65 days