Trend-Following Backtester · Guide · backtest 한국어
equity · US
Timberland Bancorp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Timberland Bancorp, Inc.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -43.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.6%, drawdown -87.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -43.6%, Sharpe 0.60, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.1%, MDD -44.0%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 43.9%p (CAGR 9.9%, MDD -43.6%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=24 |
9.9% | -43.6% | 0.60 | 0.23 | 14.6x | 53 | 39% |
| SMA 크로스오버 fast=38, slow=192 |
10.1% | -44.0% | 0.58 | 0.23 | 15.5x | 35 | 56% |
| EMA 크로스오버 fast=31, slow=234 |
9.7% | -49.3% | 0.56 | 0.20 | 14.0x | 29 | 62% |
| Keltner 채널 돌파 emaPeriod=97, atrPeriod=26, mult=4 |
5.8% | -55.4% | 0.45 | 0.10 | 5.0x | 45 | 37% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
5.4% | -42.3% | 0.42 | 0.13 | 4.5x | 73 | 29% |
| ADX / DI 방향성 period=22, threshold=26 |
1.8% | -18.3% | 0.25 | 0.10 | 1.7x | 84 | 12% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.9% | -58.2% | 0.24 | 0.05 | 2.2x | 197 | 53% |
| ROC 모멘텀 n=102, threshold=0.02 |
1.4% | -63.2% | 0.17 | 0.02 | 1.5x | 309 | 52% |
| Supertrend period=16, mult=4.7 |
0.8% | -84.0% | 0.15 | 0.01 | 1.2x | 93 | 61% |
| MACD fast=23, slow=26, signal=23 |
-5.9% | -84.8% | -0.10 | -0.07 | 0.2x | 344 | 49% |
| Buy and hold | 6.6% | -87.5% | 0.36 | 0.08 | 6.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 76 days
- Sell — Sell when price breaks below the lowest low of the last 24 days