Trend-Following Backtester · Guide · backtest 한국어
equity · US
Turtle Beach Corporation backtest
10 trend-following strategies were compared on the full daily history of Turtle Beach Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.3%, MDD -51.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.6%, drawdown -98.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.3%, MDD -51.2%, Sharpe 0.67, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.1%, MDD -77.9%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 22.3%, MDD -51.2%, exposure 17%).
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=48, k=3 |
22.3% | -51.2% | 0.67 | 0.43 | 23.5x | 28 | 17% |
| Donchian 채널 돌파 entryN=53, exitN=38 |
22.5% | -76.5% | 0.64 | 0.29 | 24.1x | 31 | 39% |
| SMA 크로스오버 fast=40, slow=71 |
23.1% | -77.9% | 0.63 | 0.30 | 26.1x | 59 | 46% |
| ADX / DI 방향성 period=21, threshold=29 |
18.8% | -61.6% | 0.63 | 0.30 | 14.9x | 38 | 14% |
| Supertrend period=9, mult=4.3 |
21.8% | -89.2% | 0.61 | 0.24 | 22.2x | 51 | 51% |
| EMA 크로스오버 fast=17, slow=92 |
19.5% | -65.9% | 0.59 | 0.30 | 16.3x | 41 | 43% |
| ROC 모멘텀 n=57, threshold=0.02 |
16.5% | -79.6% | 0.54 | 0.21 | 10.9x | 206 | 42% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=3.1 |
14.7% | -67.0% | 0.52 | 0.22 | 8.6x | 38 | 18% |
| MACD fast=23, slow=98, signal=24 |
5.0% | -90.5% | 0.37 | 0.06 | 2.2x | 106 | 52% |
| Parabolic SAR step=0.035, maxStep=0.32 |
4.8% | -96.6% | 0.36 | 0.05 | 2.1x | 438 | 47% |
| Buy and hold | 3.6% | -98.0% | 0.44 | 0.04 | 1.7x | 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 48-day average (3× volatility)
- Sell — Sell when the close falls back to the 48-day middle average