Trend-Following Backtester · Guide · backtest 한국어
equity · US
TransUnion backtest
10 trend-following strategies were compared on the full daily history of TransUnion. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.4%, MDD -29.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -65.3%).
Sharpe leader (same as main): Supertrend — CAGR 10.4%, MDD -29.2%, Sharpe 0.59, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 36.0%p (CAGR 10.4%, MDD -29.2%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=5 |
10.4% | -29.2% | 0.59 | 0.35 | 3.0x | 31 | 59% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=2.3 |
8.3% | -24.2% | 0.59 | 0.34 | 2.4x | 43 | 38% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
7.7% | -32.5% | 0.53 | 0.24 | 2.3x | 51 | 40% |
| Donchian 채널 돌파 entryN=47, exitN=14 |
7.7% | -32.7% | 0.53 | 0.24 | 2.3x | 43 | 39% |
| ROC 모멘텀 n=124, threshold=0.11 |
7.2% | -30.9% | 0.50 | 0.23 | 2.2x | 84 | 44% |
| SMA 크로스오버 fast=9, slow=143 |
7.9% | -44.9% | 0.46 | 0.18 | 2.3x | 31 | 60% |
| MACD fast=19, slow=73, signal=19 |
7.9% | -50.7% | 0.46 | 0.16 | 2.3x | 97 | 50% |
| EMA 크로스오버 fast=24, slow=148 |
7.2% | -46.6% | 0.43 | 0.16 | 2.2x | 21 | 61% |
| ADX / DI 방향성 period=15, threshold=20 |
4.6% | -37.6% | 0.37 | 0.12 | 1.6x | 108 | 37% |
| Parabolic SAR step=0.02, maxStep=0.04 |
5.9% | -53.4% | 0.37 | 0.11 | 1.9x | 121 | 61% |
| Buy and hold | 10.7% | -65.3% | 0.47 | 0.16 | 3.1x | 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) — 16-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)