Trend-Following Backtester · Guide · backtest 한국어
equity · CA
TerraVest Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of TerraVest Industries, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.5%, drawdown -41.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.6%, MDD -41.6%, Sharpe 0.86, 72% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 23.3%, MDD -47.1%, exposure 85%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=189 |
22.6% | -41.6% | 0.86 | 0.54 | 12.7x | 20 | 72% |
| EMA 크로스오버 fast=58, slow=205 |
23.3% | -47.1% | 0.84 | 0.49 | 13.6x | 10 | 85% |
| Donchian 채널 돌파 entryN=89, exitN=31 |
14.3% | -28.6% | 0.71 | 0.50 | 5.3x | 26 | 52% |
| Supertrend period=10, mult=4.8 |
14.7% | -46.4% | 0.65 | 0.32 | 5.6x | 38 | 69% |
| 볼린저 밴드 돌파 n=72, k=3.3 |
10.8% | -25.6% | 0.65 | 0.42 | 3.6x | 26 | 36% |
| ADX / DI 방향성 period=27, threshold=24 |
7.1% | -21.3% | 0.62 | 0.33 | 2.3x | 26 | 14% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.5% | -43.0% | 0.55 | 0.27 | 3.9x | 98 | 57% |
| ROC 모멘텀 n=127, threshold=0.12 |
8.8% | -36.9% | 0.48 | 0.24 | 2.9x | 94 | 44% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=25, mult=3.6 |
4.6% | -33.5% | 0.33 | 0.14 | 1.7x | 48 | 35% |
| MACD fast=16, slow=39, signal=16 |
1.0% | -47.2% | 0.17 | 0.02 | 1.1x | 153 | 48% |
| Buy and hold | 27.5% | -41.6% | 0.88 | 0.66 | 20.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 42-day average falls below the 189-day average