Trend-Following Backtester · Guide · backtest 한국어
equity · US
TMC the metals company Inc. backtest
10 trend-following strategies were compared on the full daily history of TMC the metals company Inc.. 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 40.1%, MDD -45.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.3%, drawdown -95.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 40.1%, MDD -45.0%, Sharpe 0.84, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 56.5%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 40.1%, MDD -45.0%, exposure 15%).
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=23, k=3.3 |
40.1% | -45.0% | 0.84 | 0.89 | 5.5x | 14 | 15% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=17, mult=2.2 |
33.0% | -51.6% | 0.75 | 0.64 | 4.2x | 22 | 17% |
| SMA 크로스오버 fast=13, slow=38 |
32.8% | -59.5% | 0.74 | 0.55 | 4.2x | 28 | 43% |
| MACD fast=17, slow=59, signal=18 |
30.7% | -63.7% | 0.72 | 0.48 | 3.9x | 42 | 49% |
| ROC 모멘텀 n=115, threshold=0.05 |
31.1% | -72.7% | 0.72 | 0.43 | 3.9x | 52 | 40% |
| Parabolic SAR step=0.01, maxStep=0.1 |
28.0% | -69.7% | 0.69 | 0.40 | 3.5x | 60 | 41% |
| Donchian 채널 돌파 entryN=11, exitN=17 |
24.7% | -67.0% | 0.67 | 0.37 | 3.0x | 30 | 52% |
| ADX / DI 방향성 period=14, threshold=14 |
21.1% | -70.2% | 0.64 | 0.30 | 2.6x | 80 | 49% |
| EMA 크로스오버 fast=27, slow=153 |
22.6% | -65.6% | 0.63 | 0.34 | 2.8x | 6 | 40% |
| Supertrend period=14, mult=3.3 |
15.3% | -78.7% | 0.56 | 0.19 | 2.1x | 24 | 39% |
| Buy and hold | -16.3% | -95.6% | 0.37 | -0.17 | 0.4x | 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 23-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 23-day middle average