Trend-Following Backtester · Guide · backtest 한국어
equity · US
Teradata Corporation backtest
10 trend-following strategies were compared on the full daily history of Teradata Corporation. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -48.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.2%, drawdown -77.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.5%, MDD -56.5%, Sharpe 0.37, 34% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 20.9%p (CAGR 1.2%, MDD -48.1%, exposure 20%).
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=117, exitN=62 |
6.5% | -56.5% | 0.37 | 0.12 | 3.3x | 20 | 34% |
| SMA 크로스오버 fast=37, slow=218 |
5.8% | -54.0% | 0.34 | 0.11 | 2.9x | 25 | 47% |
| EMA 크로스오버 fast=49, slow=217 |
4.1% | -53.0% | 0.28 | 0.08 | 2.1x | 19 | 45% |
| ROC 모멘텀 n=131, threshold=0.2 |
3.9% | -56.5% | 0.28 | 0.07 | 2.1x | 104 | 23% |
| 볼린저 밴드 돌파 n=52, k=3 |
2.0% | -52.3% | 0.19 | 0.04 | 1.4x | 30 | 18% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=4 |
1.9% | -54.9% | 0.19 | 0.03 | 1.4x | 34 | 20% |
| ADX / DI 방향성 period=41, threshold=16 |
1.2% | -48.1% | 0.16 | 0.03 | 1.3x | 50 | 20% |
| Supertrend period=9, mult=4.4 |
-2.9% | -71.5% | 0.04 | -0.04 | 0.6x | 76 | 48% |
| MACD fast=8, slow=64, signal=15 |
-8.4% | -88.7% | -0.13 | -0.09 | 0.2x | 275 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-14.2% | -95.2% | -0.38 | -0.15 | 0.1x | 336 | 49% |
| Buy and hold | 0.2% | -77.5% | 0.21 | 0.00 | 1.0x | 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 117 days
- Sell — Sell when price breaks below the lowest low of the last 62 days