Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tactile Systems Technology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tactile Systems Technology, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.7%, MDD -24.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.7%, drawdown -91.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.7%, MDD -24.2%, Sharpe 0.91, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 31.0%, MDD -55.6%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.0%p higher than buy and hold, while drawdown improves by 67.2%p (CAGR 23.7%, MDD -24.2%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=3 |
23.7% | -24.2% | 0.91 | 0.98 | 8.4x | 24 | 26% |
| SMA 크로스오버 fast=15, slow=54 |
31.0% | -55.6% | 0.90 | 0.56 | 14.9x | 41 | 52% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
23.1% | -30.4% | 0.89 | 0.76 | 8.0x | 19 | 25% |
| Supertrend period=28, mult=3.2 |
26.9% | -54.1% | 0.82 | 0.50 | 10.9x | 44 | 50% |
| ADX / DI 방향성 period=16, threshold=32 |
16.0% | -26.5% | 0.80 | 0.60 | 4.4x | 36 | 19% |
| Donchian 채널 돌파 entryN=52, exitN=27 |
23.4% | -36.9% | 0.80 | 0.63 | 8.2x | 27 | 40% |
| EMA 크로스오버 fast=12, slow=113 |
23.2% | -48.7% | 0.76 | 0.48 | 8.1x | 27 | 49% |
| MACD fast=17, slow=53, signal=15 |
24.9% | -59.2% | 0.74 | 0.42 | 9.2x | 90 | 51% |
| ROC 모멘텀 n=95, threshold=0.1 |
17.3% | -63.8% | 0.64 | 0.27 | 4.9x | 56 | 39% |
| Parabolic SAR step=0.005, maxStep=0.3 |
10.4% | -68.3% | 0.45 | 0.15 | 2.7x | 90 | 51% |
| Buy and hold | 9.7% | -91.4% | 0.45 | 0.11 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 39-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 39-day average