Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tilray Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tilray Brands, Inc.. 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 15.4%, MDD -69.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -38.1%, drawdown -99.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.4%, MDD -69.8%, Sharpe 0.53, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 53.5%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 15.4%, MDD -69.8%, exposure 5%).
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=13, atrPeriod=22, mult=3.5 |
15.4% | -69.8% | 0.53 | 0.22 | 3.2x | 14 | 5% |
| 볼린저 밴드 돌파 n=48, k=2.5 |
14.8% | -86.3% | 0.51 | 0.17 | 3.1x | 14 | 12% |
| Supertrend period=26, mult=4 |
7.4% | -87.1% | 0.45 | 0.08 | 1.8x | 31 | 29% |
| ADX / DI 방향성 period=20, threshold=26 |
8.7% | -88.1% | 0.43 | 0.10 | 2.0x | 26 | 15% |
| ROC 모멘텀 n=40, threshold=0.08 |
0.1% | -93.5% | 0.34 | 0.00 | 1.0x | 78 | 22% |
| SMA 크로스오버 fast=24, slow=37 |
-1.8% | -93.1% | 0.33 | -0.02 | 0.9x | 47 | 32% |
| Donchian 채널 돌파 entryN=75, exitN=15 |
2.7% | -92.7% | 0.31 | 0.03 | 1.2x | 10 | 11% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-10.1% | -97.4% | 0.27 | -0.10 | 0.4x | 161 | 40% |
| EMA 크로스오버 fast=57, slow=103 |
-4.3% | -93.0% | 0.20 | -0.05 | 0.7x | 10 | 15% |
| MACD fast=13, slow=19, signal=5 |
-18.6% | -96.8% | 0.16 | -0.19 | 0.2x | 198 | 50% |
| Buy and hold | -38.1% | -99.8% | 0.09 | -0.38 | 0.0x | 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 13-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average