Trend-Following Backtester · Guide · backtest 한국어
equity · KR
티에스이 backtest
10 trend-following strategies were compared on the full daily history of 티에스이. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.8%, MDD -54.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 14.3%, drawdown -76.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.2%, MDD -56.8%, Sharpe 0.72, 45% exposure.
Return/drawdown alternative: Supertrend — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 19.8%, MDD -54.5%, exposure 47%).
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=44, k=0.6 |
23.2% | -56.8% | 0.72 | 0.41 | 25.8x | 128 | 45% |
| ROC 모멘텀 n=118, threshold=0.08 |
20.9% | -59.7% | 0.68 | 0.35 | 19.1x | 85 | 41% |
| Supertrend period=20, mult=1.7 |
19.8% | -54.5% | 0.66 | 0.36 | 16.7x | 188 | 47% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=1.3 |
18.8% | -59.7% | 0.64 | 0.32 | 14.7x | 112 | 40% |
| ADX / DI 방향성 period=34, threshold=16 |
17.5% | -68.2% | 0.62 | 0.26 | 12.3x | 68 | 36% |
| SMA 크로스오버 fast=24, slow=132 |
18.0% | -62.4% | 0.60 | 0.29 | 13.1x | 33 | 48% |
| EMA 크로스오버 fast=23, slow=82 |
17.8% | -67.5% | 0.60 | 0.26 | 12.8x | 41 | 48% |
| Donchian 채널 돌파 entryN=101, exitN=39 |
14.3% | -61.0% | 0.56 | 0.23 | 8.0x | 28 | 36% |
| Parabolic SAR step=0.01, maxStep=0.26 |
13.5% | -71.4% | 0.52 | 0.19 | 7.2x | 200 | 48% |
| MACD fast=16, slow=29, signal=8 |
10.1% | -78.7% | 0.44 | 0.13 | 4.5x | 266 | 52% |
| Buy and hold | 14.3% | -76.8% | 0.52 | 0.19 | 8.0x | 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 44-day average (0.6× volatility)
- Sell — Sell when the close falls back to the 44-day middle average