Trend-Following Backtester · Guide · backtest 한국어
equity · US
TD SYNNEX Corporation backtest
10 trend-following strategies were compared on the full daily history of TD SYNNEX Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.6%, MDD -47.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -67.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.6%, MDD -47.0%, Sharpe 0.66, 77% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 20.3%p (CAGR 16.6%, MDD -47.0%, exposure 77%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=29 |
16.6% | -47.0% | 0.66 | 0.35 | 32.8x | 117 | 77% |
| ROC 모멘텀 Hold-like · Exposure 98% n=7, threshold=-0.11 |
16.6% | -63.4% | 0.61 | 0.26 | 32.6x | 71 | 98% |
| Supertrend period=22, mult=2.8 |
12.0% | -57.1% | 0.56 | 0.21 | 13.0x | 176 | 58% |
| SMA 크로스오버 fast=14, slow=71 |
8.7% | -49.4% | 0.45 | 0.18 | 6.6x | 100 | 58% |
| MACD fast=16, slow=57, signal=16 |
8.3% | -60.2% | 0.44 | 0.14 | 6.1x | 254 | 51% |
| Parabolic SAR step=0.015, maxStep=0.08 |
8.3% | -40.7% | 0.44 | 0.20 | 6.2x | 345 | 55% |
| ADX / DI 방향성 period=39, threshold=15 |
4.8% | -35.7% | 0.34 | 0.13 | 2.9x | 113 | 29% |
| EMA 크로스오버 fast=56, slow=167 |
5.4% | -59.0% | 0.33 | 0.09 | 3.3x | 45 | 68% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=1 |
5.1% | -63.6% | 0.33 | 0.08 | 3.1x | 226 | 49% |
| 볼린저 밴드 돌파 n=32, k=1.1 |
3.7% | -56.6% | 0.27 | 0.07 | 2.3x | 238 | 47% |
| Buy and hold | 17.1% | -67.3% | 0.62 | 0.25 | 35.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 29 days