Trend-Following Backtester · Guide · backtest 한국어
equity · US
Taylor Devices, Inc. backtest
10 trend-following strategies were compared on the full daily history of Taylor Devices, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -96.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -81.5%, Sharpe 0.34, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=219 |
5.0% | -81.5% | 0.34 | 0.06 | 9.4x | 60 | 50% |
| Donchian 채널 돌파 entryN=53, exitN=67 |
0.5% | -94.0% | 0.24 | 0.01 | 1.2x | 74 | 49% |
| ADX / DI 방향성 period=26, threshold=19 |
-1.1% | -97.0% | 0.22 | -0.01 | 0.6x | 166 | 46% |
| EMA 크로스오버 fast=77, slow=232 |
-2.2% | -94.3% | 0.21 | -0.02 | 0.4x | 59 | 51% |
| Supertrend period=28, mult=3.9 |
-8.7% | -99.8% | 0.06 | -0.09 | 0.0x | 190 | 45% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-8.4% | -99.7% | 0.06 | -0.08 | 0.0x | 616 | 48% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
-3.6% | -96.1% | 0.03 | -0.04 | 0.2x | 118 | 20% |
| ROC 모멘텀 n=126, threshold=-0.03 |
-12.5% | -100.0% | 0.02 | -0.13 | 0.0x | 540 | 57% |
| MACD fast=21, slow=29, signal=24 |
-11.3% | -99.9% | 0.02 | -0.11 | 0.0x | 540 | 51% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=16, mult=4 |
-5.6% | -96.4% | -0.04 | -0.06 | 0.1x | 80 | 16% |
| Buy and hold | 6.2% | -96.3% | 0.42 | 0.06 | 15.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 58-day average falls below the 219-day average