Trend-Following Backtester · Guide · backtest 한국어
equity · KR
티에스이 backtest
10 trend-following strategies were compared on the full daily history of 티에스이. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.2%, MDD -54.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.0%, drawdown -76.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 22.6%, MDD -59.7%, Sharpe 0.71, 41% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 17.2%p (CAGR 20.2%, MDD -54.5%, exposure 47%).
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=118, threshold=0.08 |
22.6% | -59.7% | 0.71 | 0.38 | 24.3x | 85 | 41% |
| 볼린저 밴드 돌파 n=44, k=0.6 |
21.3% | -56.8% | 0.68 | 0.37 | 20.4x | 131 | 45% |
| Supertrend period=20, mult=1.7 |
20.2% | -54.5% | 0.66 | 0.37 | 17.8x | 190 | 47% |
| ADX / DI 방향성 period=34, threshold=16 |
19.1% | -68.2% | 0.65 | 0.28 | 15.3x | 69 | 37% |
| SMA 크로스오버 fast=24, slow=132 |
19.7% | -62.4% | 0.64 | 0.32 | 16.7x | 33 | 48% |
| EMA 크로스오버 fast=23, slow=82 |
19.5% | -67.5% | 0.64 | 0.29 | 16.2x | 41 | 48% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=1.3 |
17.5% | -59.7% | 0.61 | 0.29 | 12.5x | 114 | 40% |
| Donchian 채널 돌파 entryN=101, exitN=39 |
14.2% | -61.0% | 0.55 | 0.23 | 8.0x | 28 | 35% |
| Parabolic SAR step=0.01, maxStep=0.26 |
13.2% | -71.4% | 0.51 | 0.18 | 6.9x | 201 | 49% |
| MACD fast=16, slow=29, signal=8 |
10.3% | -78.7% | 0.45 | 0.13 | 4.7x | 267 | 52% |
| Buy and hold | 16.0% | -76.8% | 0.55 | 0.21 | 10.2x | 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 118-day return is greater than 8%
- Sell — Sell when the 118-day return drops to 8% or below