Trend-Following Backtester · Guide · backtest 한국어
equity · NL
TomTom NV backtest
10 trend-following strategies were compared on the full daily history of TomTom NV. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.7%, MDD -31.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.8%, drawdown -96.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.7%, MDD -31.0%, Sharpe 0.46, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 65.6%p (CAGR 5.7%, MDD -31.0%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=10, mult=3 |
5.7% | -31.0% | 0.46 | 0.18 | 3.2x | 38 | 9% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
4.5% | -35.3% | 0.41 | 0.13 | 2.5x | 12 | 6% |
| ADX / DI 방향성 period=26, threshold=24 |
4.0% | -42.2% | 0.32 | 0.09 | 2.3x | 38 | 11% |
| Donchian 채널 돌파 entryN=100, exitN=17 |
2.8% | -47.7% | 0.24 | 0.06 | 1.8x | 46 | 18% |
| SMA 크로스오버 fast=15, slow=39 |
-0.2% | -86.4% | 0.14 | -0.00 | 1.0x | 154 | 51% |
| Supertrend period=23, mult=4.5 |
-0.4% | -90.9% | 0.14 | -0.00 | 0.9x | 84 | 47% |
| EMA 크로스오버 fast=16, slow=33 |
-0.8% | -92.0% | 0.12 | -0.01 | 0.8x | 146 | 48% |
| ROC 모멘텀 n=66, threshold=0.13 |
-1.2% | -82.1% | 0.06 | -0.02 | 0.8x | 192 | 23% |
| MACD fast=14, slow=30, signal=7 |
-5.5% | -86.8% | -0.01 | -0.06 | 0.3x | 388 | 52% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-5.8% | -90.8% | -0.01 | -0.06 | 0.3x | 507 | 50% |
| Buy and hold | -8.8% | -96.5% | 0.05 | -0.09 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 19-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average