Trend-Following Backtester · Guide · backtest 한국어
equity · US
Twin Disc, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Twin Disc, Incorporated. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -42.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.7%, drawdown -90.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -65.5%, Sharpe 0.44, 63% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 3.8%, MDD -42.5%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=169, threshold=-0.07 |
9.1% | -65.5% | 0.44 | 0.14 | 56.6x | 201 | 63% |
| Supertrend period=5, mult=5 |
8.4% | -75.3% | 0.42 | 0.11 | 42.7x | 235 | 56% |
| Donchian 채널 돌파 entryN=19, exitN=61 |
8.7% | -72.7% | 0.41 | 0.12 | 47.7x | 163 | 71% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=12, mult=4 |
5.7% | -58.2% | 0.38 | 0.10 | 13.3x | 127 | 29% |
| 볼린저 밴드 돌파 n=52, k=2.1 |
6.0% | -55.4% | 0.37 | 0.11 | 14.8x | 167 | 30% |
| ADX / DI 방향성 period=23, threshold=29 |
3.8% | -42.5% | 0.35 | 0.09 | 5.6x | 96 | 12% |
| SMA 크로스오버 fast=46, slow=56 |
5.5% | -70.3% | 0.33 | 0.08 | 12.1x | 285 | 51% |
| EMA 크로스오버 fast=22, slow=96 |
4.8% | -73.9% | 0.31 | 0.07 | 9.0x | 135 | 51% |
| MACD fast=17, slow=50, signal=18 |
0.5% | -91.3% | 0.16 | 0.01 | 1.3x | 510 | 50% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.3% | -95.5% | 0.06 | -0.02 | 0.3x | 829 | 48% |
| Buy and hold | 3.7% | -90.3% | 0.30 | 0.04 | 5.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 169-day return is greater than -7%
- Sell — Sell when the 169-day return drops to -7% or below