Trend-Following Backtester · Guide · backtest 한국어
equity · US
TSS, Inc. backtest
10 trend-following strategies were compared on the full daily history of TSS, Inc.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 3.3%, drawdown -99.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.5%, MDD -90.2%, Sharpe 0.59, 28% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=9 |
23.5% | -90.2% | 0.59 | 0.26 | 81.6x | 150 | 28% |
| Donchian 채널 돌파 entryN=30, exitN=103 |
-3.8% | -99.5% | 0.57 | -0.04 | 0.4x | 37 | 78% |
| SMA 크로스오버 fast=29, slow=76 |
20.5% | -86.4% | 0.57 | 0.24 | 48.3x | 74 | 44% |
| EMA 크로스오버 fast=29, slow=107 |
16.0% | -85.5% | 0.55 | 0.19 | 22.1x | 56 | 45% |
| ROC 모멘텀 n=41, threshold=0.12 |
2.1% | -97.8% | 0.37 | 0.02 | 1.6x | 290 | 29% |
| MACD fast=17, slow=72, signal=24 |
-24.6% | -100.0% | 0.31 | -0.25 | 0.0x | 202 | 52% |
| Supertrend period=26, mult=5 |
-9.3% | -99.9% | 0.31 | -0.09 | 0.1x | 66 | 44% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
1.3% | -97.1% | 0.28 | 0.01 | 1.3x | 52 | 22% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-16.6% | -99.9% | 0.27 | -0.17 | 0.0x | 384 | 47% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=29, mult=2.8 |
-1.9% | -98.4% | 0.24 | -0.02 | 0.7x | 68 | 24% |
| Buy and hold | 3.3% | -99.5% | 0.65 | 0.03 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 9
- Sell — Sell when direction flips or the trend weakens (ADX < 9)