Trend-Following Backtester · Guide · backtest 한국어
equity · US
TrueBlue, Inc. backtest
10 trend-following strategies were compared on the full daily history of TrueBlue, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.6%, MDD -69.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.1%, drawdown -90.5%).
Sharpe leader (same as main): Supertrend — CAGR 10.6%, MDD -69.8%, Sharpe 0.45, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 10.6%, MDD -69.8%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=3.9 |
10.6% | -69.8% | 0.45 | 0.15 | 26.2x | 141 | 54% |
| ADX / DI 방향성 period=30, threshold=35 |
3.0% | -15.7% | 0.45 | 0.19 | 2.6x | 6 | 2% |
| Donchian 채널 돌파 entryN=88, exitN=18 |
8.8% | -69.5% | 0.43 | 0.13 | 15.4x | 87 | 28% |
| Parabolic SAR step=0.005, maxStep=0.06 |
9.8% | -91.9% | 0.43 | 0.11 | 20.3x | 246 | 52% |
| EMA 크로스오버 fast=13, slow=45 |
7.3% | -91.9% | 0.37 | 0.08 | 9.7x | 189 | 54% |
| SMA 크로스오버 fast=9, slow=55 |
6.4% | -94.9% | 0.35 | 0.07 | 7.4x | 207 | 54% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=1.5 |
6.1% | -89.4% | 0.34 | 0.07 | 6.7x | 211 | 43% |
| MACD fast=21, slow=49, signal=13 |
5.4% | -93.3% | 0.33 | 0.06 | 5.4x | 380 | 53% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
4.9% | -92.9% | 0.31 | 0.05 | 4.7x | 165 | 36% |
| ROC 모멘텀 n=127, threshold=0.01 |
3.8% | -93.6% | 0.29 | 0.04 | 3.4x | 277 | 51% |
| Buy and hold | 9.1% | -90.5% | 0.43 | 0.10 | 16.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)