Trend-Following Backtester · Guide · backtest 한국어
equity · US
TE Connectivity plc backtest
10 trend-following strategies were compared on the full daily history of TE Connectivity plc. 1 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 9.5%, MDD -41.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.1%, drawdown -81.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -41.0%, Sharpe 0.50, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 40.5%p (CAGR 9.5%, MDD -41.0%, exposure 76%).
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=19, exitN=54 |
9.5% | -41.0% | 0.50 | 0.23 | 5.6x | 57 | 76% |
| ROC 모멘텀 n=48, threshold=-0.06 |
8.5% | -48.9% | 0.47 | 0.17 | 4.8x | 171 | 79% |
| SMA 크로스오버 fast=56, slow=156 |
6.3% | -33.6% | 0.41 | 0.19 | 3.2x | 34 | 64% |
| ADX / DI 방향성 period=39, threshold=12 |
5.3% | -32.8% | 0.41 | 0.16 | 2.7x | 132 | 36% |
| Supertrend period=8, mult=4.8 |
6.1% | -40.3% | 0.40 | 0.15 | 3.1x | 68 | 57% |
| EMA 크로스오버 fast=48, slow=73 |
3.8% | -43.2% | 0.29 | 0.09 | 2.1x | 50 | 66% |
| 볼린저 밴드 돌파 n=52, k=2 |
1.5% | -37.9% | 0.17 | 0.04 | 1.3x | 78 | 37% |
| MACD fast=12, slow=39, signal=10 |
-1.0% | -54.9% | 0.06 | -0.02 | 0.8x | 333 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2.2 |
-0.6% | -47.1% | 0.05 | -0.01 | 0.9x | 116 | 42% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.4% | -69.4% | -0.05 | -0.05 | 0.5x | 365 | 54% |
| Buy and hold | 9.1% | -81.5% | 0.43 | 0.11 | 5.3x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 54 days