Trend-Following Backtester · Guide · backtest 한국어
equity · US
Teledyne Technologies Incorporated backtest
10 trend-following strategies were compared on the full daily history of Teledyne Technologies Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.3%, drawdown -66.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.0%, MDD -69.1%, Sharpe 0.59, 97% 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 97% n=17, threshold=-0.14 |
16.0% | -69.1% | 0.59 | 0.23 | 52.6x | 91 | 97% |
| EMA 크로스오버 fast=64, slow=261 |
10.6% | -56.5% | 0.50 | 0.19 | 15.0x | 19 | 77% |
| Donchian 채널 돌파 entryN=7, exitN=103 |
11.7% | -75.6% | 0.49 | 0.15 | 19.3x | 63 | 93% |
| SMA 크로스오버 fast=57, slow=179 |
9.6% | -54.0% | 0.47 | 0.18 | 11.6x | 37 | 73% |
| MACD fast=20, slow=42, signal=24 |
6.6% | -52.8% | 0.37 | 0.12 | 5.5x | 270 | 51% |
| Supertrend period=24, mult=4.8 |
5.9% | -56.6% | 0.35 | 0.10 | 4.6x | 85 | 59% |
| Parabolic SAR step=0.005, maxStep=0.14 |
3.4% | -53.8% | 0.26 | 0.06 | 2.5x | 240 | 57% |
| ADX / DI 방향성 period=33, threshold=35 |
0.5% | -10.8% | 0.19 | 0.05 | 1.1x | 4 | 1% |
| 볼린저 밴드 돌파 n=43, k=3 |
0.7% | -63.4% | 0.12 | 0.01 | 1.2x | 52 | 15% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=28, mult=3.8 |
0.7% | -50.7% | 0.11 | 0.01 | 1.2x | 30 | 6% |
| Buy and hold | 17.3% | -66.2% | 0.61 | 0.26 | 72.4x | 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 17-day return is greater than -14%
- Sell — Sell when the 17-day return drops to -14% or below