Trend-Following Backtester · Guide · backtest 한국어
equity · CA
TFI International Inc. backtest
10 trend-following strategies were compared on the full daily history of TFI International Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.6%, MDD -44.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.6%, drawdown -85.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -59.0%, Sharpe 0.70, 81% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 13.6%, MDD -44.5%, exposure 66%).
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=21, exitN=79 |
16.5% | -59.0% | 0.70 | 0.28 | 32.5x | 47 | 81% |
| EMA 크로스오버 fast=37, slow=159 |
13.6% | -44.5% | 0.66 | 0.31 | 18.3x | 33 | 66% |
| ROC 모멘텀 n=151, threshold=-0.03 |
12.4% | -48.4% | 0.61 | 0.26 | 14.3x | 129 | 68% |
| SMA 크로스오버 fast=17, slow=193 |
12.2% | -49.8% | 0.61 | 0.24 | 13.8x | 43 | 64% |
| Supertrend period=18, mult=3.4 |
11.9% | -72.3% | 0.60 | 0.16 | 13.0x | 116 | 61% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
4.9% | -16.6% | 0.59 | 0.30 | 3.0x | 26 | 13% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=12, mult=2.7 |
9.0% | -26.7% | 0.59 | 0.34 | 7.2x | 86 | 40% |
| ADX / DI 방향성 period=24, threshold=39 |
1.3% | -8.7% | 0.38 | 0.15 | 1.4x | 12 | 3% |
| MACD fast=17, slow=34, signal=19 |
5.2% | -79.0% | 0.34 | 0.07 | 3.2x | 252 | 51% |
| Parabolic SAR step=0.005, maxStep=0.44 |
1.7% | -80.2% | 0.19 | 0.02 | 1.5x | 210 | 57% |
| Buy and hold | 14.6% | -85.7% | 0.57 | 0.17 | 22.4x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 79 days