Trend-Following Backtester · Guide · backtest 한국어
equity · US
Teleflex Incorporated backtest
10 trend-following strategies were compared on the full daily history of Teleflex Incorporated. 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 10.2%, drawdown -77.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -68.0%, Sharpe 0.44, 67% exposure.
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=36, exitN=65 |
7.4% | -68.0% | 0.44 | 0.11 | 28.0x | 111 | 67% |
| Supertrend period=8, mult=5 |
6.3% | -71.4% | 0.41 | 0.09 | 16.8x | 175 | 57% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
4.5% | -49.8% | 0.39 | 0.09 | 7.6x | 124 | 29% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=24, mult=3 |
4.4% | -45.0% | 0.36 | 0.10 | 7.4x | 186 | 36% |
| ROC 모멘텀 n=77, threshold=-0.06 |
4.7% | -78.7% | 0.32 | 0.06 | 8.4x | 391 | 74% |
| EMA 크로스오버 fast=25, slow=40 |
4.4% | -64.0% | 0.32 | 0.07 | 7.4x | 201 | 61% |
| SMA 크로스오버 fast=26, slow=87 |
4.3% | -72.6% | 0.31 | 0.06 | 7.0x | 137 | 60% |
| MACD fast=36, slow=49, signal=24 |
2.7% | -74.3% | 0.24 | 0.04 | 3.5x | 351 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.3% | -79.6% | 0.16 | 0.02 | 1.8x | 400 | 56% |
| ADX / DI 방향성 period=30, threshold=38 |
0.3% | -13.6% | 0.13 | 0.02 | 1.1x | 10 | 2% |
| Buy and hold | 10.2% | -77.4% | 0.48 | 0.13 | 92.5x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 65 days