Trend-Following Backtester · Guide · backtest 한국어
equity · TH
TISCO Financial Group Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of TISCO Financial Group Public Co. Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.4%, MDD -33.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -81.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -63.4%, Sharpe 0.43, 75% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 17.9%p (CAGR 4.4%, MDD -33.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=34, exitN=79 |
8.2% | -63.4% | 0.43 | 0.13 | 8.0x | 53 | 75% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
4.4% | -33.3% | 0.38 | 0.13 | 3.2x | 47 | 12% |
| SMA 크로스오버 fast=9, slow=208 |
5.4% | -58.4% | 0.34 | 0.09 | 4.0x | 85 | 63% |
| ROC 모멘텀 n=75, threshold=0.12 |
4.5% | -55.5% | 0.33 | 0.08 | 3.2x | 190 | 24% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=1.5 |
4.8% | -62.8% | 0.32 | 0.08 | 3.4x | 173 | 46% |
| EMA 크로스오버 fast=33, slow=97 |
4.5% | -66.0% | 0.30 | 0.07 | 3.2x | 65 | 61% |
| Supertrend period=22, mult=5 |
4.3% | -76.6% | 0.30 | 0.06 | 3.1x | 83 | 57% |
| ADX / DI 방향성 period=13, threshold=32 |
3.1% | -45.9% | 0.27 | 0.07 | 2.3x | 137 | 17% |
| MACD fast=18, slow=39, signal=14 |
1.3% | -71.9% | 0.18 | 0.02 | 1.4x | 323 | 51% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-0.8% | -68.4% | 0.09 | -0.01 | 0.8x | 466 | 54% |
| Buy and hold | 5.8% | -81.2% | 0.34 | 0.07 | 4.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 34 days
- Sell — Sell when price breaks below the lowest low of the last 79 days