Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Techtronic Industries Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Techtronic Industries Co., Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.2%, MDD -40.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.4%, drawdown -93.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.1%, MDD -41.1%, Sharpe 0.58, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.9%, MDD -69.8%, exposure 87%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 12.2%, MDD -40.7%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=89, slow=223 |
13.1% | -41.1% | 0.58 | 0.32 | 15.4x | 17 | 62% |
| Donchian 채널 돌파 entryN=15, exitN=103 |
14.9% | -69.8% | 0.57 | 0.21 | 21.7x | 39 | 87% |
| EMA 크로스오버 fast=57, slow=248 |
12.2% | -40.7% | 0.54 | 0.30 | 12.7x | 19 | 63% |
| ROC 모멘텀 n=116, threshold=-0.04 |
7.1% | -59.0% | 0.38 | 0.12 | 4.6x | 161 | 70% |
| Supertrend period=25, mult=4 |
7.3% | -77.5% | 0.38 | 0.09 | 4.8x | 81 | 60% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.5% | -85.3% | 0.21 | 0.02 | 1.4x | 169 | 56% |
| 볼린저 밴드 돌파 n=54, k=1.1 |
1.4% | -61.8% | 0.19 | 0.02 | 1.4x | 149 | 47% |
| MACD fast=22, slow=51, signal=30 |
0.7% | -74.7% | 0.18 | 0.01 | 1.2x | 203 | 50% |
| ADX / DI 방향성 period=32, threshold=39 |
0.1% | -6.1% | 0.08 | 0.02 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=3.8 |
0.0% | -41.1% | 0.06 | 0.00 | 1.0x | 28 | 7% |
| Buy and hold | 11.4% | -93.9% | 0.45 | 0.12 | 10.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 89-day average price crosses above the 223-day average
- Sell — Sell (to cash) when the 89-day average falls below the 223-day average