Trend-Following Backtester · Guide · backtest 한국어
equity · US
Take-Two Interactive Software, Inc. backtest
10 trend-following strategies were compared on the full daily history of Take-Two Interactive Software, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.4%, MDD -52.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.7%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -52.3%, Sharpe 0.50, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 28.5%p (CAGR 12.4%, MDD -52.3%, exposure 61%).
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=57, slow=87 |
12.4% | -52.3% | 0.50 | 0.24 | 31.4x | 93 | 61% |
| Donchian 채널 돌파 entryN=6, exitN=96 |
10.3% | -73.5% | 0.44 | 0.14 | 17.7x | 83 | 92% |
| ROC 모멘텀 n=73, threshold=0 |
4.9% | -59.8% | 0.31 | 0.08 | 4.1x | 306 | 60% |
| EMA 크로스오버 fast=20, slow=53 |
4.7% | -68.9% | 0.31 | 0.07 | 3.9x | 131 | 61% |
| Supertrend period=27, mult=4.2 |
1.0% | -80.2% | 0.20 | 0.01 | 1.3x | 123 | 55% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-0.9% | -76.5% | 0.15 | -0.01 | 0.8x | 400 | 55% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=2.2 |
0.4% | -75.1% | 0.14 | 0.01 | 1.1x | 140 | 40% |
| MACD fast=18, slow=47, signal=14 |
-1.2% | -73.8% | 0.14 | -0.02 | 0.7x | 384 | 52% |
| 볼린저 밴드 돌파 n=47, k=1.8 |
0.1% | -82.2% | 0.13 | 0.00 | 1.0x | 156 | 41% |
| ADX / DI 방향성 period=30, threshold=31 |
0.4% | -13.3% | 0.13 | 0.03 | 1.1x | 10 | 2% |
| Buy and hold | 14.7% | -80.8% | 0.52 | 0.18 | 55.8x | 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 57-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 57-day average falls below the 87-day average