Trend-Following Backtester · Guide · backtest 한국어
equity · US
Telos Corporation backtest
10 trend-following strategies were compared on the full daily history of Telos Corporation. 7 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 10.2%, MDD -11.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -23.5%, drawdown -96.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.2%, MDD -11.3%, Sharpe 0.64, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 15.5%, MDD -28.6%, exposure 8%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 33.7%p higher than buy and hold, while drawdown improves by 84.8%p (CAGR 10.2%, MDD -11.3%, exposure 3%).
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=20, k=3.5 |
10.2% | -11.3% | 0.64 | 0.91 | 1.7x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=19, mult=2.7 |
15.5% | -28.6% | 0.63 | 0.54 | 2.3x | 12 | 8% |
| ROC 모멘텀 n=3, threshold=0.16 |
13.4% | -31.6% | 0.59 | 0.42 | 2.0x | 48 | 4% |
| ADX / DI 방향성 period=15, threshold=41 |
5.5% | -21.5% | 0.39 | 0.26 | 1.4x | 10 | 5% |
| SMA 크로스오버 fast=52, slow=58 |
-2.9% | -82.1% | 0.34 | -0.04 | 0.8x | 43 | 38% |
| Donchian 채널 돌파 entryN=54, exitN=40 |
6.9% | -53.1% | 0.34 | 0.13 | 1.5x | 8 | 14% |
| Supertrend period=5, mult=4.1 |
-23.9% | -94.9% | -0.02 | -0.25 | 0.2x | 23 | 40% |
| EMA 크로스오버 fast=26, slow=169 |
-19.2% | -70.5% | -0.29 | -0.27 | 0.3x | 12 | 23% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-29.9% | -92.3% | -0.29 | -0.32 | 0.1x | 72 | 43% |
| MACD fast=23, slow=39, signal=17 |
-33.5% | -94.1% | -0.34 | -0.36 | 0.1x | 52 | 49% |
| Buy and hold | -23.5% | -96.0% | 0.19 | -0.24 | 0.2x | 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 20-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 20-day middle average