Trend-Following Backtester · Guide · backtest 한국어
equity · KR
티엘비 backtest
10 trend-following strategies were compared on the full daily history of 티엘비. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.3%, MDD -32.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 23.6%, drawdown -68.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.4%, MDD -23.4%, Sharpe 0.79, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.1%, MDD -44.5%, exposure 41%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.3%p lower than buy and hold, while drawdown improves by 44.9%p (CAGR 23.3%, MDD -32.4%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=31 |
16.4% | -23.4% | 0.79 | 0.70 | 2.4x | 2 | 6% |
| Donchian 채널 돌파 entryN=37, exitN=30 |
29.1% | -44.5% | 0.79 | 0.65 | 4.3x | 16 | 41% |
| 볼린저 밴드 돌파 n=41, k=2.9 |
23.3% | -32.4% | 0.75 | 0.72 | 3.3x | 16 | 24% |
| MACD fast=18, slow=26, signal=31 |
27.3% | -65.8% | 0.74 | 0.41 | 4.0x | 53 | 53% |
| SMA 크로스오버 fast=57, slow=171 |
28.0% | -65.9% | 0.73 | 0.43 | 4.1x | 7 | 54% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=3.8 |
10.6% | -12.8% | 0.66 | 0.83 | 1.8x | 4 | 3% |
| ROC 모멘텀 n=195, threshold=0 |
19.9% | -56.9% | 0.62 | 0.35 | 2.8x | 37 | 50% |
| EMA 크로스오버 fast=56, slow=183 |
19.3% | -65.9% | 0.60 | 0.29 | 2.7x | 9 | 54% |
| Supertrend period=5, mult=1.6 |
18.9% | -68.2% | 0.59 | 0.28 | 2.7x | 83 | 53% |
| Parabolic SAR step=0.035, maxStep=0.1 |
0.2% | -72.9% | 0.24 | 0.00 | 1.0x | 131 | 48% |
| Buy and hold | 23.6% | -68.3% | 0.65 | 0.35 | 3.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)