Trend-Following Backtester · Guide · backtest 한국어
equity · US
Titan Machinery Inc. backtest
10 trend-following strategies were compared on the full daily history of Titan Machinery Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.8%, drawdown -80.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -84.1%, Sharpe 0.26, 53% 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=50, slow=72 |
2.8% | -84.1% | 0.26 | 0.03 | 1.7x | 86 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-0.4% | -74.6% | 0.19 | -0.01 | 0.9x | 140 | 49% |
| ROC 모멘텀 n=83, threshold=0.13 |
-1.5% | -77.9% | 0.10 | -0.02 | 0.8x | 172 | 33% |
| ADX / DI 방향성 period=34, threshold=27 |
0.3% | -39.7% | 0.08 | 0.01 | 1.1x | 10 | 4% |
| EMA 크로스오버 fast=36, slow=63 |
-3.6% | -87.9% | 0.08 | -0.04 | 0.5x | 62 | 49% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=12, mult=2.3 |
-2.0% | -56.6% | 0.07 | -0.04 | 0.7x | 72 | 31% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
-2.9% | -62.6% | 0.06 | -0.05 | 0.6x | 94 | 36% |
| Donchian 채널 돌파 entryN=83, exitN=41 |
-3.1% | -69.1% | 0.05 | -0.05 | 0.6x | 38 | 35% |
| Supertrend period=24, mult=5 |
-5.3% | -89.3% | 0.02 | -0.06 | 0.4x | 62 | 50% |
| MACD fast=7, slow=23, signal=17 |
-13.1% | -96.2% | -0.19 | -0.14 | 0.1x | 386 | 51% |
| Buy and hold | 2.8% | -80.2% | 0.33 | 0.04 | 1.7x | 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 50-day average price crosses above the 72-day average
- Sell — Sell (to cash) when the 50-day average falls below the 72-day average