Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Tikehau Capital SCA backtest
10 trend-following strategies were compared on the full daily history of Tikehau Capital SCA. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -10.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR -3.2%, drawdown -49.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.5%, MDD -21.3%, Sharpe 0.20, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 0.3%, MDD -10.1%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=2.5 |
1.5% | -21.3% | 0.20 | 0.07 | 1.2x | 26 | 15% |
| ADX / DI 방향성 period=38, threshold=28 |
0.3% | -10.1% | 0.10 | 0.03 | 1.0x | 4 | 3% |
| Donchian 채널 돌파 entryN=16, exitN=69 |
-3.3% | -52.3% | -0.07 | -0.06 | 0.7x | 34 | 71% |
| SMA 크로스오버 fast=33, slow=215 |
-3.0% | -42.5% | -0.10 | -0.07 | 0.7x | 13 | 41% |
| ROC 모멘텀 n=5, threshold=0.05 |
-2.4% | -40.4% | -0.18 | -0.06 | 0.8x | 132 | 7% |
| EMA 크로스오버 fast=88, slow=193 |
-4.3% | -49.7% | -0.19 | -0.09 | 0.7x | 12 | 39% |
| MACD fast=28, slow=39, signal=20 |
-4.6% | -56.6% | -0.19 | -0.08 | 0.6x | 80 | 48% |
| Supertrend period=11, mult=2.3 |
-5.6% | -60.1% | -0.25 | -0.09 | 0.6x | 110 | 42% |
| Parabolic SAR step=0.035, maxStep=0.34 |
-8.2% | -72.7% | -0.38 | -0.11 | 0.4x | 272 | 48% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=2.1 |
-5.2% | -54.2% | -0.38 | -0.10 | 0.6x | 58 | 22% |
| Buy and hold | -3.2% | -49.6% | 0.01 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 33-day middle average