Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tejon Ranch Co backtest
10 trend-following strategies were compared on the full daily history of Tejon Ranch Co. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.2%, MDD -39.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.6%, drawdown -80.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.4%, MDD -62.1%, Sharpe 0.30, 44% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 3.2%, MDD -39.8%, exposure 8%).
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=78, exitN=55 |
4.4% | -62.1% | 0.30 | 0.07 | 7.5x | 78 | 44% |
| 볼린저 밴드 돌파 n=27, k=3.4 |
3.2% | -39.8% | 0.28 | 0.08 | 4.4x | 74 | 8% |
| SMA 크로스오버 fast=39, slow=215 |
2.3% | -72.3% | 0.21 | 0.03 | 2.9x | 65 | 47% |
| EMA 크로스오버 fast=20, slow=111 |
2.2% | -67.5% | 0.21 | 0.03 | 2.8x | 136 | 47% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=3.9 |
1.7% | -68.7% | 0.18 | 0.03 | 2.2x | 116 | 22% |
| Supertrend period=6, mult=4.5 |
0.6% | -90.2% | 0.15 | 0.01 | 1.3x | 208 | 52% |
| ADX / DI 방향성 period=30, threshold=30 |
0.8% | -48.0% | 0.13 | 0.02 | 1.5x | 34 | 3% |
| ROC 모멘텀 n=96, threshold=0.12 |
0.3% | -79.3% | 0.11 | 0.00 | 1.1x | 362 | 27% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.8% | -93.6% | 0.08 | -0.01 | 0.7x | 240 | 46% |
| MACD fast=15, slow=47, signal=9 |
-2.9% | -94.7% | 0.01 | -0.03 | 0.3x | 704 | 48% |
| Buy and hold | 2.6% | -80.2% | 0.25 | 0.03 | 3.3x | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 55 days