Trend-Following Backtester · Guide · backtest 한국어
equity · PT
Teixeira Duarte, S.A. backtest
10 trend-following strategies were compared on the full daily history of Teixeira Duarte, S.A.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.4%, MDD -40.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.8%, drawdown -94.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.2%, MDD -43.6%, Sharpe 0.76, 24% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 26.1%p higher than buy and hold, while drawdown improves by 51.1%p (CAGR 19.4%, MDD -40.6%, exposure 22%).
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=66, k=2.6 |
21.2% | -43.6% | 0.76 | 0.49 | 21.9x | 28 | 24% |
| Donchian 채널 돌파 entryN=95, exitN=23 |
19.4% | -40.6% | 0.73 | 0.48 | 17.2x | 25 | 22% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=26, mult=3 |
18.4% | -40.6% | 0.69 | 0.45 | 15.1x | 28 | 24% |
| ADX / DI 방향성 period=38, threshold=19 |
16.7% | -42.3% | 0.67 | 0.39 | 11.9x | 38 | 21% |
| SMA 크로스오버 fast=9, slow=98 |
15.4% | -72.3% | 0.57 | 0.21 | 10.0x | 55 | 37% |
| EMA 크로스오버 fast=12, slow=139 |
14.3% | -73.7% | 0.55 | 0.19 | 8.6x | 30 | 33% |
| ROC 모멘텀 n=66, threshold=0.08 |
12.6% | -75.9% | 0.51 | 0.17 | 6.8x | 127 | 29% |
| Supertrend period=37, mult=3.1 |
12.3% | -60.5% | 0.50 | 0.20 | 6.4x | 80 | 36% |
| Parabolic SAR step=0.01, maxStep=0.22 |
8.9% | -62.4% | 0.41 | 0.14 | 4.0x | 162 | 43% |
| MACD fast=23, slow=64, signal=22 |
-0.9% | -87.4% | 0.17 | -0.01 | 0.9x | 136 | 49% |
| Buy and hold | -4.8% | -94.7% | 0.15 | -0.05 | 0.5x | 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 66-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 66-day middle average