Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TBS HOLDINGS INC. backtest
10 trend-following strategies were compared on the full daily history of TBS HOLDINGS INC.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -19.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.3%, drawdown -86.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.1%, MDD -33.0%, Sharpe 0.52, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 53.5%p (CAGR 4.8%, MDD -19.5%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=27, mult=3.5 |
7.1% | -33.0% | 0.52 | 0.22 | 5.8x | 56 | 16% |
| ADX / DI 방향성 period=16, threshold=39 |
4.8% | -19.5% | 0.52 | 0.25 | 3.3x | 34 | 6% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
4.5% | -35.3% | 0.39 | 0.13 | 3.1x | 40 | 12% |
| Donchian 채널 돌파 entryN=80, exitN=28 |
5.8% | -43.3% | 0.38 | 0.13 | 4.2x | 59 | 31% |
| SMA 크로스오버 fast=21, slow=96 |
4.9% | -61.2% | 0.32 | 0.08 | 3.4x | 73 | 47% |
| EMA 크로스오버 fast=9, slow=239 |
4.5% | -53.9% | 0.31 | 0.08 | 3.1x | 53 | 49% |
| Supertrend period=28, mult=5 |
3.5% | -58.8% | 0.26 | 0.06 | 2.4x | 83 | 44% |
| ROC 모멘텀 n=108, threshold=0.03 |
2.1% | -69.4% | 0.21 | 0.03 | 1.7x | 237 | 44% |
| MACD fast=27, slow=45, signal=34 |
0.7% | -66.4% | 0.15 | 0.01 | 1.2x | 188 | 54% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.5% | -73.5% | 0.05 | -0.02 | 0.7x | 420 | 50% |
| Buy and hold | 2.3% | -86.5% | 0.24 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 29-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average