Trend-Following Backtester · Guide · backtest 한국어
equity · US
Texas Instruments Incorporated backtest
10 trend-following strategies were compared on the full daily history of Texas Instruments Incorporated. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -64.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -85.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -64.4%, Sharpe 0.44, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 21.5%p (CAGR 8.5%, MDD -64.4%, exposure 59%).
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=69, slow=105 |
8.5% | -64.4% | 0.44 | 0.13 | 83.2x | 145 | 59% |
| Donchian 채널 돌파 entryN=81, exitN=72 |
7.5% | -56.2% | 0.42 | 0.13 | 49.6x | 85 | 55% |
| EMA 크로스오버 fast=31, slow=107 |
5.8% | -69.6% | 0.35 | 0.08 | 21.5x | 139 | 58% |
| ROC 모멘텀 n=91, threshold=-0.04 |
5.8% | -61.5% | 0.34 | 0.09 | 20.9x | 505 | 67% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=17, mult=4 |
4.8% | -60.2% | 0.33 | 0.08 | 12.5x | 128 | 35% |
| Supertrend period=21, mult=4.8 |
4.8% | -60.6% | 0.31 | 0.08 | 12.6x | 200 | 55% |
| ADX / DI 방향성 period=37, threshold=16 |
2.5% | -70.4% | 0.23 | 0.04 | 3.9x | 198 | 20% |
| 볼린저 밴드 돌파 n=48, k=3.2 |
1.7% | -33.3% | 0.22 | 0.05 | 2.5x | 50 | 9% |
| MACD fast=17, slow=30, signal=13 |
-3.0% | -93.3% | 0.01 | -0.03 | 0.2x | 776 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.3% | -91.7% | -0.00 | -0.04 | 0.2x | 506 | 53% |
| Buy and hold | 9.8% | -85.9% | 0.44 | 0.11 | 161.2x | 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 69-day average price crosses above the 105-day average
- Sell — Sell (to cash) when the 69-day average falls below the 105-day average