Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tetra Tech, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tetra Tech, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.5%, drawdown -77.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.9%, MDD -78.4%, Sharpe 0.52, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
13.9% | -78.4% | 0.52 | 0.18 | 89.7x | 21 | 100% |
| Donchian 채널 돌파 entryN=71, exitN=65 |
4.3% | -67.2% | 0.29 | 0.06 | 4.3x | 64 | 59% |
| SMA 크로스오버 fast=42, slow=147 |
4.2% | -71.6% | 0.29 | 0.06 | 4.2x | 72 | 63% |
| EMA 크로스오버 fast=42, slow=204 |
3.9% | -81.4% | 0.28 | 0.05 | 3.7x | 50 | 67% |
| Supertrend period=28, mult=4.1 |
3.0% | -71.0% | 0.25 | 0.04 | 2.7x | 133 | 61% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.1% | -78.4% | 0.19 | 0.01 | 1.4x | 443 | 56% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
0.2% | -67.0% | 0.11 | 0.00 | 1.1x | 125 | 32% |
| ADX / DI 방향성 period=39, threshold=18 |
0.5% | -36.2% | 0.11 | 0.01 | 1.2x | 94 | 17% |
| MACD fast=15, slow=29, signal=14 |
-1.8% | -82.2% | 0.08 | -0.02 | 0.5x | 505 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=20, mult=4 |
0.2% | -38.0% | 0.08 | 0.00 | 1.1x | 52 | 13% |
| Buy and hold | 14.5% | -77.9% | 0.53 | 0.19 | 109.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -14%
- Sell — Sell when the 1-day return drops to -14% or below