Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Toronto-Dominion Bank backtest
10 trend-following strategies were compared on the full daily history of Toronto-Dominion Bank. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -57.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.0%, MDD -53.2%, Sharpe 0.61, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=26, threshold=-0.13 |
11.0% | -53.2% | 0.61 | 0.21 | 27.5x | 59 | 97% |
| 볼린저 밴드 돌파 n=60, k=2.9 |
5.1% | -31.1% | 0.57 | 0.16 | 4.8x | 44 | 23% |
| Donchian 채널 돌파 entryN=62, exitN=69 |
8.1% | -41.0% | 0.55 | 0.20 | 11.6x | 55 | 73% |
| SMA 크로스오버 fast=24, slow=104 |
7.3% | -36.9% | 0.53 | 0.20 | 9.4x | 83 | 66% |
| EMA 크로스오버 fast=80, slow=124 |
7.1% | -46.1% | 0.51 | 0.15 | 8.7x | 39 | 70% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=13, mult=1.5 |
5.1% | -47.7% | 0.43 | 0.11 | 4.8x | 208 | 52% |
| Supertrend period=12, mult=4.3 |
4.7% | -39.3% | 0.38 | 0.12 | 4.3x | 134 | 58% |
| ADX / DI 방향성 period=35, threshold=13 |
3.8% | -58.5% | 0.36 | 0.07 | 3.3x | 199 | 39% |
| MACD fast=24, slow=40, signal=18 |
0.9% | -69.0% | 0.13 | 0.01 | 1.3x | 342 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.4% | -79.9% | 0.05 | -0.00 | 0.9x | 302 | 58% |
| Buy and hold | 11.7% | -57.0% | 0.60 | 0.21 | 33.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 26-day return is greater than -13%
- Sell — Sell when the 26-day return drops to -13% or below