Trend-Following Backtester · Guide · backtest 한국어

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TPG Telecom Limited backtest

10 trend-following strategies were compared on the full daily history of TPG Telecom Limited. 5 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 19.0%, MDD -65.1%).

Data 2001-05-09 ~ 2026-07-31daily bars 6,410 (25.2 years)Costs 0.5%Venue ASXMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 11.8%, drawdown -96.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.0%, MDD -65.1%, Sharpe 0.70, 49% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 19.0%, MDD -65.1%, exposure 49%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=70, exitN=50
19.0%-65.1%0.700.2979.8x4249%
SMA 크로스오버
fast=57, slow=143
17.0%-67.1%0.630.2552.9x3455%
EMA 크로스오버
fast=74, slow=80
16.2%-76.5%0.610.2144.0x4054%
ROC 모멘텀
n=121, threshold=-0.04
15.8%-79.7%0.590.2040.3x16662%
볼린저 밴드 돌파
n=53, k=2.9
10.6%-53.8%0.560.2012.8x5422%
Keltner 채널 돌파
emaPeriod=63, atrPeriod=12, mult=1.6
12.9%-74.4%0.550.1721.5x12841%
ADX / DI 방향성
period=31, threshold=37
4.3%-18.4%0.530.232.9x63%
Supertrend
period=29, mult=4.6
6.5%-73.1%0.350.094.9x10247%
Parabolic SAR
step=0.005, maxStep=0.14
3.2%-83.8%0.260.042.2x18049%
MACD
fast=15, slow=42, signal=13
-2.5%-90.2%0.09-0.030.5x35151%
Buy and hold11.8%-96.1%0.470.1216.6x1100%
1x 10x 100x 2002 2006 2010 2014 2018 2022 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 2002 2006 2010 2014 2018 2022 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -65.1% (2018-08-30 → 2025-03-11), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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