Trend-Following Backtester · Guide · backtest 한국어
equity · US
Titan International, Inc. (DE) backtest
10 trend-following strategies were compared on the full daily history of Titan International, Inc. (DE). 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.2%, MDD -28.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.8%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.2%, MDD -28.9%, Sharpe 0.49, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.6%, MDD -86.2%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 68.3%p (CAGR 7.2%, MDD -28.9%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=45, threshold=22 |
7.2% | -28.9% | 0.49 | 0.25 | 9.9x | 28 | 10% |
| Donchian 채널 돌파 entryN=64, exitN=67 |
8.6% | -86.2% | 0.40 | 0.10 | 15.4x | 62 | 52% |
| SMA 크로스오버 fast=33, slow=94 |
8.5% | -77.2% | 0.40 | 0.11 | 15.2x | 93 | 51% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
7.2% | -64.4% | 0.39 | 0.11 | 10.1x | 70 | 23% |
| ROC 모멘텀 n=73, threshold=0.12 |
7.8% | -79.6% | 0.39 | 0.10 | 11.9x | 332 | 35% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=3.8 |
6.3% | -69.8% | 0.36 | 0.09 | 7.6x | 84 | 25% |
| Supertrend period=21, mult=4.7 |
5.0% | -83.4% | 0.32 | 0.06 | 5.0x | 124 | 52% |
| EMA 크로스오버 fast=59, slow=218 |
4.6% | -87.5% | 0.30 | 0.05 | 4.4x | 40 | 50% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-1.4% | -89.4% | 0.17 | -0.02 | 0.6x | 416 | 51% |
| MACD fast=10, slow=55, signal=4 |
-5.0% | -92.6% | 0.09 | -0.05 | 0.2x | 858 | 50% |
| Buy and hold | 0.8% | -97.2% | 0.31 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 45-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)