Trend-Following Backtester · Guide · backtest 한국어

equity · JP

T&D Holdings, Inc. backtest

10 trend-following strategies were compared on the full daily history of T&D Holdings, Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -51.4%).

Data 2004-04-01 ~ 2026-07-31daily bars 5,525 (22.3 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 3.6%, drawdown -85.7%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -75.2%, Sharpe 0.38, 80% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 10.6%p (CAGR 6.1%, MDD -51.4%, exposure 55%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=106, threshold=-0.15
7.1%-75.2%0.380.094.6x13180%
볼린저 밴드 돌파
n=24, k=3.3
2.5%-15.4%0.370.161.7x185%
SMA 크로스오버
fast=15, slow=393
6.1%-51.4%0.360.123.7x2755%
EMA 크로스오버
fast=56, slow=147
4.7%-64.3%0.310.072.8x3159%
Donchian 채널 돌파
entryN=30, exitN=95
4.4%-72.3%0.300.062.6x3579%
Supertrend
period=28, mult=5
-1.0%-85.4%0.10-0.010.8x8154%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=24, mult=2.2
-0.1%-52.6%0.10-0.001.0x12133%
ADX / DI 방향성
period=35, threshold=17
-0.3%-47.0%0.05-0.010.9x5015%
Parabolic SAR
step=0.025, maxStep=0.12
-4.2%-89.1%-0.03-0.050.4x49751%
MACD
fast=13, slow=41, signal=16
-5.4%-90.8%-0.07-0.060.3x31451%
Buy and hold3.6%-85.7%0.290.042.2x1100%
1x 2005 2008 2011 2014 2017 2020 2023 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -86% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -75.2% (2006-04-07 → 2012-11-14), recovered after 6,104 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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