Trend-Following Backtester · Guide · backtest 한국어
equity · US
Transdigm Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Transdigm Group Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.9%, drawdown -62.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.7%, MDD -43.3%, Sharpe 0.72, 71% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 16.2%, MDD -62.6%, exposure 78%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=82, exitN=90 |
14.7% | -43.3% | 0.72 | 0.34 | 16.7x | 20 | 71% |
| EMA 크로스오버 fast=108, slow=139 |
16.2% | -62.6% | 0.70 | 0.26 | 21.8x | 14 | 78% |
| SMA 크로스오버 fast=58, slow=203 |
14.9% | -62.6% | 0.66 | 0.24 | 17.3x | 22 | 74% |
| ROC 모멘텀 n=215, threshold=-0.09 |
13.7% | -51.6% | 0.62 | 0.27 | 13.8x | 57 | 87% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
1.1% | -5.1% | 0.43 | 0.21 | 1.2x | 8 | 2% |
| Supertrend period=23, mult=4.3 |
3.6% | -52.2% | 0.27 | 0.07 | 2.1x | 90 | 66% |
| ADX / DI 방향성 period=50, threshold=16 |
2.2% | -22.6% | 0.26 | 0.10 | 1.5x | 32 | 18% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=9, mult=2.2 |
2.0% | -42.3% | 0.20 | 0.05 | 1.5x | 114 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.1% | -55.2% | 0.11 | -0.00 | 1.0x | 188 | 60% |
| MACD fast=12, slow=22, signal=16 |
-0.9% | -68.5% | 0.07 | -0.01 | 0.8x | 346 | 50% |
| Buy and hold | 20.9% | -62.6% | 0.74 | 0.33 | 48.4x | 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 82 days
- Sell — Sell when price breaks below the lowest low of the last 90 days