Trend-Following Backtester · Guide · backtest 한국어
equity · US
Telephone and Data Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Telephone and Data Systems, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -90.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -32.8%, Sharpe 0.43, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.4%, MDD -83.3%, exposure 53%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=24 |
4.7% | -32.8% | 0.43 | 0.14 | 7.9x | 88 | 15% |
| Donchian 채널 돌파 entryN=112, exitN=20 |
5.1% | -41.7% | 0.39 | 0.12 | 9.3x | 108 | 26% |
| SMA 크로스오버 fast=65, slow=163 |
6.4% | -83.3% | 0.38 | 0.08 | 15.8x | 68 | 53% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=3.8 |
4.3% | -72.5% | 0.34 | 0.06 | 6.4x | 112 | 23% |
| EMA 크로스오버 fast=51, slow=114 |
4.8% | -87.6% | 0.32 | 0.05 | 7.9x | 84 | 55% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
2.4% | -33.7% | 0.26 | 0.07 | 2.9x | 38 | 10% |
| MACD fast=16, slow=50, signal=19 |
1.2% | -86.2% | 0.17 | 0.01 | 1.7x | 504 | 52% |
| Supertrend period=16, mult=4.6 |
1.0% | -95.2% | 0.16 | 0.01 | 1.6x | 200 | 53% |
| ROC 모멘텀 n=46, threshold=0.07 |
1.0% | -94.8% | 0.15 | 0.01 | 1.6x | 544 | 34% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-3.4% | -98.6% | 0.01 | -0.03 | 0.2x | 745 | 52% |
| Buy and hold | 7.1% | -90.2% | 0.36 | 0.08 | 21.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)