Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Transcend Information, Inc. backtest
10 trend-following strategies were compared on the full daily history of Transcend Information, Inc.. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -37.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.2%, drawdown -77.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.7%, MDD -44.6%, Sharpe 0.60, 31% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 10.7%, MDD -37.1%, exposure 26%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=43, k=2.2 |
11.7% | -44.6% | 0.60 | 0.26 | 16.2x | 96 | 31% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=2.9 |
10.7% | -37.1% | 0.57 | 0.29 | 12.9x | 74 | 26% |
| Donchian 채널 돌파 entryN=30, exitN=75 |
11.6% | -53.3% | 0.51 | 0.22 | 15.8x | 53 | 70% |
| SMA 크로스오버 fast=21, slow=53 |
10.8% | -51.3% | 0.51 | 0.21 | 13.4x | 118 | 53% |
| EMA 크로스오버 fast=22, slow=40 |
8.8% | -55.8% | 0.44 | 0.16 | 8.5x | 112 | 54% |
| Supertrend period=24, mult=3.2 |
8.2% | -47.9% | 0.44 | 0.17 | 7.3x | 146 | 49% |
| ADX / DI 방향성 period=28, threshold=28 |
4.5% | -56.7% | 0.35 | 0.08 | 3.0x | 48 | 12% |
| ROC 모멘텀 n=42, threshold=0.14 |
4.3% | -59.9% | 0.30 | 0.07 | 2.9x | 212 | 18% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.6% | -60.5% | 0.30 | 0.08 | 3.1x | 299 | 52% |
| MACD fast=13, slow=46, signal=18 |
4.5% | -64.2% | 0.30 | 0.07 | 3.0x | 297 | 52% |
| Buy and hold | 10.2% | -77.1% | 0.45 | 0.13 | 11.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 43-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 43-day middle average