Trend-Following Backtester · Guide · backtest 한국어
equity · US
TTM Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of TTM Technologies, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.2%, MDD -29.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.4%, drawdown -94.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.9%, MDD -62.8%, Sharpe 0.56, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 31.9%p (CAGR 5.2%, MDD -29.4%, exposure 6%).
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=40, exitN=35 |
14.9% | -62.8% | 0.56 | 0.24 | 36.3x | 70 | 52% |
| SMA 크로스오버 fast=12, slow=104 |
13.8% | -73.0% | 0.53 | 0.19 | 28.4x | 88 | 54% |
| Supertrend period=17, mult=4.2 |
12.0% | -66.5% | 0.48 | 0.18 | 18.8x | 100 | 56% |
| EMA 크로스오버 fast=31, slow=43 |
11.5% | -70.8% | 0.48 | 0.16 | 16.8x | 98 | 54% |
| ROC 모멘텀 n=75, threshold=0.07 |
10.9% | -74.9% | 0.47 | 0.15 | 14.4x | 256 | 42% |
| ADX / DI 방향성 period=35, threshold=26 |
5.2% | -29.4% | 0.44 | 0.18 | 3.7x | 22 | 6% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=14, mult=4 |
5.2% | -43.7% | 0.34 | 0.12 | 3.7x | 50 | 19% |
| Parabolic SAR step=0.01, maxStep=0.3 |
5.7% | -80.6% | 0.34 | 0.07 | 4.2x | 350 | 52% |
| 볼린저 밴드 돌파 n=40, k=2.5 |
5.2% | -77.5% | 0.33 | 0.07 | 3.7x | 92 | 24% |
| MACD fast=7, slow=59, signal=8 |
3.8% | -82.2% | 0.29 | 0.05 | 2.6x | 542 | 51% |
| Buy and hold | 6.4% | -94.7% | 0.40 | 0.07 | 5.0x | 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 40 days
- Sell — Sell when price breaks below the lowest low of the last 35 days