Trend-Following Backtester · Guide · backtest 한국어
equity · US
TFS Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of TFS Financial Corporation. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.3%, drawdown -50.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -2.4%, Sharpe 0.29, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.5%, MDD -52.6%, exposure 77%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=27, threshold=39 |
0.4% | -2.4% | 0.29 | 0.15 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=20, exitN=63 |
2.5% | -52.6% | 0.22 | 0.05 | 1.6x | 51 | 77% |
| Supertrend period=20, mult=4.9 |
1.0% | -37.3% | 0.14 | 0.03 | 1.2x | 57 | 57% |
| ROC 모멘텀 n=24, threshold=-0.1 |
-0.7% | -64.6% | 0.08 | -0.01 | 0.9x | 117 | 95% |
| SMA 크로스오버 fast=36, slow=96 |
-0.9% | -62.0% | 0.03 | -0.01 | 0.8x | 57 | 56% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=10, mult=2.8 |
-0.3% | -38.0% | 0.01 | -0.01 | 1.0x | 57 | 18% |
| 볼린저 밴드 돌파 n=44, k=3.3 |
-0.2% | -14.3% | -0.03 | -0.01 | 1.0x | 14 | 5% |
| EMA 크로스오버 fast=23, slow=28 |
-2.4% | -59.4% | -0.08 | -0.04 | 0.6x | 113 | 55% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-2.6% | -63.1% | -0.08 | -0.04 | 0.6x | 171 | 51% |
| MACD fast=14, slow=57, signal=17 |
-3.7% | -78.1% | -0.14 | -0.05 | 0.5x | 240 | 51% |
| Buy and hold | 2.3% | -50.9% | 0.22 | 0.05 | 1.6x | 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, 27-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)