Trend-Following Backtester · Guide · backtest 한국어
equity · US
T-Mobile US, Inc. backtest
10 trend-following strategies were compared on the full daily history of T-Mobile US, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.2%, MDD -52.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -86.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -53.8%, Sharpe 0.53, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 10.2%, MDD -52.3%, exposure 67%).
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=28, slow=254 |
10.9% | -53.8% | 0.53 | 0.20 | 7.3x | 20 | 64% |
| EMA 크로스오버 fast=38, slow=232 |
10.2% | -52.3% | 0.51 | 0.20 | 6.5x | 16 | 67% |
| Supertrend period=28, mult=5 |
6.3% | -64.2% | 0.37 | 0.10 | 3.3x | 48 | 59% |
| ADX / DI 방향성 period=46, threshold=18 |
3.5% | -32.3% | 0.35 | 0.11 | 1.9x | 22 | 13% |
| ROC 모멘텀 n=51, threshold=-0.11 |
5.7% | -81.8% | 0.33 | 0.07 | 2.9x | 141 | 83% |
| Donchian 채널 돌파 entryN=72, exitN=38 |
4.6% | -49.5% | 0.31 | 0.09 | 2.4x | 46 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=12, mult=3.9 |
2.7% | -25.2% | 0.28 | 0.11 | 1.7x | 26 | 13% |
| 볼린저 밴드 돌파 n=35, k=3.2 |
1.8% | -31.0% | 0.22 | 0.06 | 1.4x | 24 | 10% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.4% | -54.3% | 0.12 | -0.01 | 0.9x | 167 | 54% |
| MACD fast=30, slow=57, signal=25 |
-1.0% | -65.1% | 0.10 | -0.02 | 0.8x | 147 | 50% |
| Buy and hold | 6.1% | -86.3% | 0.35 | 0.07 | 3.1x | 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 28-day average price crosses above the 254-day average
- Sell — Sell (to cash) when the 28-day average falls below the 254-day average