Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Titan Company Limited backtest
10 trend-following strategies were compared on the full daily history of Titan Company Limited. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.9%, MDD -60.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.8%, drawdown -84.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 18.8%, MDD -53.8%, Sharpe 0.71, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.9%, MDD -60.9%, exposure 77%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p lower than buy and hold, while drawdown improves by 30.4%p (CAGR 20.9%, MDD -60.9%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=0.5 |
18.8% | -53.8% | 0.71 | 0.35 | 197.1x | 271 | 54% |
| Donchian 채널 돌파 entryN=25, exitN=53 |
20.9% | -60.9% | 0.70 | 0.34 | 335.7x | 77 | 77% |
| SMA 크로스오버 fast=8, slow=91 |
18.6% | -48.0% | 0.68 | 0.39 | 185.3x | 137 | 62% |
| EMA 크로스오버 fast=19, slow=215 |
18.9% | -58.8% | 0.68 | 0.32 | 201.9x | 59 | 67% |
| ROC 모멘텀 n=100, threshold=-0.08 |
18.4% | -68.3% | 0.65 | 0.27 | 178.4x | 175 | 74% |
| Supertrend period=21, mult=3.6 |
15.6% | -52.3% | 0.62 | 0.30 | 84.2x | 147 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=0.5 |
15.9% | -48.6% | 0.62 | 0.33 | 93.3x | 335 | 56% |
| MACD fast=18, slow=58, signal=14 |
15.0% | -55.9% | 0.61 | 0.27 | 72.6x | 333 | 52% |
| ADX / DI 방향성 period=18, threshold=15 |
14.1% | -67.3% | 0.59 | 0.21 | 56.6x | 373 | 49% |
| Parabolic SAR step=0.02, maxStep=0.04 |
12.8% | -57.2% | 0.54 | 0.22 | 40.5x | 339 | 56% |
| Buy and hold | 24.8% | -84.2% | 0.72 | 0.29 | 882.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (0.5× volatility)
- Sell — Sell when the close falls back to the 47-day middle average