Trend-Following Backtester · Guide · backtest 한국어
equity · JP
T&D Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of T&D Holdings, Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -51.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.6%, drawdown -85.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -75.2%, Sharpe 0.38, 80% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 10.6%p (CAGR 6.1%, MDD -51.4%, exposure 55%).
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 n=106, threshold=-0.15 |
7.1% | -75.2% | 0.38 | 0.09 | 4.6x | 131 | 80% |
| 볼린저 밴드 돌파 n=24, k=3.3 |
2.5% | -15.4% | 0.37 | 0.16 | 1.7x | 18 | 5% |
| SMA 크로스오버 fast=15, slow=393 |
6.1% | -51.4% | 0.36 | 0.12 | 3.7x | 27 | 55% |
| EMA 크로스오버 fast=56, slow=147 |
4.7% | -64.3% | 0.31 | 0.07 | 2.8x | 31 | 59% |
| Donchian 채널 돌파 entryN=30, exitN=95 |
4.4% | -72.3% | 0.30 | 0.06 | 2.6x | 35 | 79% |
| Supertrend period=28, mult=5 |
-1.0% | -85.4% | 0.10 | -0.01 | 0.8x | 81 | 54% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=2.2 |
-0.1% | -52.6% | 0.10 | -0.00 | 1.0x | 121 | 33% |
| ADX / DI 방향성 period=35, threshold=17 |
-0.3% | -47.0% | 0.05 | -0.01 | 0.9x | 50 | 15% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-4.2% | -89.1% | -0.03 | -0.05 | 0.4x | 497 | 51% |
| MACD fast=13, slow=41, signal=16 |
-5.4% | -90.8% | -0.07 | -0.06 | 0.3x | 314 | 51% |
| Buy and hold | 3.6% | -85.7% | 0.29 | 0.04 | 2.2x | 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 106-day return is greater than -15%
- Sell — Sell when the 106-day return drops to -15% or below