Trend-Following Backtester · Guide · backtest 한국어
equity · AU
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 18.9%, MDD -65.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.0%, drawdown -96.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.9%, MDD -65.1%, Sharpe 0.70, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 18.9%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=70, exitN=50 |
18.9% | -65.1% | 0.70 | 0.29 | 79.8x | 42 | 49% |
| SMA 크로스오버 fast=57, slow=143 |
17.0% | -67.1% | 0.63 | 0.25 | 52.9x | 34 | 55% |
| EMA 크로스오버 fast=74, slow=80 |
16.1% | -76.5% | 0.61 | 0.21 | 44.0x | 40 | 54% |
| ROC 모멘텀 n=121, threshold=-0.04 |
15.5% | -80.6% | 0.58 | 0.19 | 38.6x | 168 | 62% |
| 볼린저 밴드 돌파 n=53, k=2.9 |
10.5% | -53.8% | 0.55 | 0.20 | 12.6x | 55 | 22% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=12, mult=1.6 |
12.8% | -75.5% | 0.55 | 0.17 | 21.0x | 129 | 41% |
| ADX / DI 방향성 period=31, threshold=37 |
4.2% | -18.4% | 0.53 | 0.23 | 2.9x | 6 | 3% |
| Supertrend period=29, mult=4.6 |
6.5% | -73.1% | 0.35 | 0.09 | 4.9x | 102 | 47% |
| Parabolic SAR step=0.005, maxStep=0.14 |
3.1% | -83.8% | 0.26 | 0.04 | 2.2x | 181 | 49% |
| MACD fast=15, slow=42, signal=13 |
-2.3% | -90.2% | 0.10 | -0.03 | 0.6x | 351 | 51% |
| Buy and hold | 12.0% | -96.1% | 0.47 | 0.12 | 17.4x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 50 days