Trend-Following Backtester · Guide · backtest 한국어
equity · US
TJX Companies, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of TJX Companies, Inc. (The). 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.4%, MDD -49.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.7%, drawdown -69.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.4%, MDD -49.2%, Sharpe 0.66, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 15.4%, MDD -49.2%, exposure 80%).
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=98, exitN=183 |
15.4% | -49.2% | 0.66 | 0.31 | 266.8x | 21 | 80% |
| SMA 크로스오버 fast=34, slow=209 |
12.1% | -47.9% | 0.57 | 0.25 | 87.6x | 55 | 70% |
| EMA 크로스오버 fast=45, slow=143 |
10.7% | -52.0% | 0.53 | 0.21 | 54.1x | 57 | 72% |
| ROC 모멘텀 n=69, threshold=-0.09 |
11.1% | -70.2% | 0.52 | 0.16 | 60.9x | 247 | 84% |
| ADX / DI 방향성 period=51, threshold=14 |
5.0% | -37.3% | 0.38 | 0.13 | 6.6x | 104 | 26% |
| Supertrend period=22, mult=4.9 |
4.1% | -60.3% | 0.29 | 0.07 | 4.9x | 132 | 64% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=22, mult=4 |
2.8% | -49.7% | 0.25 | 0.06 | 3.0x | 96 | 33% |
| Parabolic SAR step=0.005, maxStep=0.32 |
2.4% | -72.8% | 0.22 | 0.03 | 2.5x | 351 | 58% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
1.3% | -55.5% | 0.17 | 0.02 | 1.7x | 128 | 33% |
| MACD fast=23, slow=53, signal=19 |
-0.9% | -76.7% | 0.08 | -0.01 | 0.7x | 411 | 51% |
| Buy and hold | 14.7% | -69.2% | 0.57 | 0.21 | 210.9x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 183 days