Trend-Following Backtester · Guide · backtest 한국어
equity · TW
TXC Corporation backtest
10 trend-following strategies were compared on the full daily history of TXC Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.7%, MDD -45.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.5%, drawdown -74.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.7%, MDD -45.2%, Sharpe 0.67, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 17.7%, MDD -45.2%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=35, slow=124 |
17.7% | -45.2% | 0.67 | 0.39 | 49.7x | 43 | 57% |
| EMA 크로스오버 fast=43, slow=68 |
16.1% | -45.2% | 0.63 | 0.36 | 36.3x | 59 | 57% |
| Donchian 채널 돌파 entryN=49, exitN=79 |
14.1% | -51.5% | 0.57 | 0.27 | 23.7x | 39 | 63% |
| ROC 모멘텀 n=118, threshold=0.02 |
11.3% | -59.2% | 0.50 | 0.19 | 12.9x | 179 | 54% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
8.0% | -54.5% | 0.42 | 0.15 | 6.4x | 98 | 37% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=1.8 |
6.9% | -55.0% | 0.38 | 0.13 | 5.0x | 126 | 40% |
| Supertrend period=11, mult=5 |
6.4% | -67.6% | 0.36 | 0.10 | 4.5x | 70 | 59% |
| MACD fast=19, slow=46, signal=18 |
4.2% | -65.9% | 0.29 | 0.06 | 2.7x | 269 | 50% |
| ADX / DI 방향성 period=30, threshold=12 |
3.9% | -69.9% | 0.28 | 0.06 | 2.5x | 215 | 46% |
| Parabolic SAR step=0.01, maxStep=0.2 |
0.8% | -65.8% | 0.18 | 0.01 | 1.2x | 289 | 52% |
| Buy and hold | 13.5% | -74.1% | 0.52 | 0.18 | 21.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 35-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 35-day average falls below the 124-day average