Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Tyntek Corporation backtest
10 trend-following strategies were compared on the full daily history of Tyntek Corporation. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 19.8%, MDD -53.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.6%, drawdown -87.8%).
Sharpe leader (same as main): MACD — CAGR 19.8%, MDD -53.9%, Sharpe 0.70, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 19.8%, MDD -53.9%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=41, slow=56, signal=35 |
19.8% | -53.9% | 0.70 | 0.37 | 120.3x | 122 | 50% |
| Donchian 채널 돌파 entryN=13, exitN=55 |
17.1% | -62.0% | 0.59 | 0.28 | 66.5x | 94 | 75% |
| Supertrend period=16, mult=4.7 |
13.6% | -64.8% | 0.54 | 0.21 | 29.8x | 82 | 54% |
| EMA 크로스오버 fast=13, slow=27 |
13.0% | -61.7% | 0.52 | 0.21 | 25.9x | 192 | 51% |
| SMA 크로스오버 fast=12, slow=38 |
12.7% | -62.7% | 0.52 | 0.20 | 24.2x | 200 | 51% |
| 볼린저 밴드 돌파 n=53, k=0.9 |
10.8% | -66.3% | 0.48 | 0.16 | 15.4x | 174 | 41% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=8, mult=2.4 |
10.2% | -61.6% | 0.48 | 0.17 | 13.3x | 108 | 31% |
| ADX / DI 방향성 period=17, threshold=31 |
8.3% | -61.8% | 0.46 | 0.13 | 8.3x | 88 | 12% |
| ROC 모멘텀 n=53, threshold=0.06 |
6.1% | -71.4% | 0.34 | 0.08 | 4.8x | 350 | 37% |
| Parabolic SAR step=0.005, maxStep=0.32 |
3.8% | -69.4% | 0.28 | 0.05 | 2.7x | 192 | 48% |
| Buy and hold | 5.6% | -87.8% | 0.36 | 0.06 | 4.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (41/56) crosses above its 35-day signal line
- Sell — Sell when the MACD line crosses back below the signal line