Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TISI Inc. backtest
10 trend-following strategies were compared on the full daily history of TISI Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.9%, MDD -39.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.7%, drawdown -88.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.9%, MDD -39.8%, Sharpe 0.41, 48% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 6.9%, MDD -39.8%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=300, threshold=0.11 |
6.9% | -39.8% | 0.41 | 0.17 | 5.5x | 78 | 48% |
| EMA 크로스오버 fast=22, slow=58 |
5.7% | -66.7% | 0.35 | 0.08 | 4.1x | 85 | 55% |
| Donchian 채널 돌파 entryN=18, exitN=48 |
5.3% | -77.0% | 0.32 | 0.07 | 3.8x | 89 | 73% |
| SMA 크로스오버 fast=9, slow=139 |
3.7% | -63.4% | 0.27 | 0.06 | 2.5x | 83 | 55% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
2.0% | -20.5% | 0.25 | 0.10 | 1.7x | 30 | 8% |
| Keltner 채널 돌파 emaPeriod=83, atrPeriod=19, mult=1 |
2.4% | -67.8% | 0.22 | 0.04 | 1.8x | 171 | 49% |
| ADX / DI 방향성 period=32, threshold=34 |
1.0% | -11.3% | 0.22 | 0.09 | 1.3x | 4 | 1% |
| Supertrend period=8, mult=4.2 |
-0.9% | -77.3% | 0.10 | -0.01 | 0.8x | 117 | 57% |
| MACD fast=17, slow=47, signal=16 |
-1.5% | -76.5% | 0.08 | -0.02 | 0.7x | 301 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.2% | -93.5% | -0.06 | -0.06 | 0.3x | 425 | 54% |
| Buy and hold | 2.7% | -88.9% | 0.27 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 300-day return is greater than 11%
- Sell — Sell when the 300-day return drops to 11% or below