Trend-Following Backtester · Guide · backtest 한국어
equity · US
Toll Brothers, Inc. backtest
10 trend-following strategies were compared on the full daily history of Toll Brothers, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.2%, drawdown -85.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.5%, MDD -64.0%, Sharpe 0.44, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.6%, MDD -87.2%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=2 |
8.5% | -64.0% | 0.44 | 0.13 | 26.6x | 188 | 35% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=2.2 |
7.9% | -66.4% | 0.42 | 0.12 | 20.8x | 182 | 35% |
| SMA 크로스오버 fast=17, slow=110 |
8.6% | -87.2% | 0.42 | 0.10 | 27.4x | 123 | 54% |
| Donchian 채널 돌파 entryN=64, exitN=54 |
7.7% | -81.8% | 0.40 | 0.09 | 19.7x | 79 | 48% |
| Supertrend period=12, mult=4.3 |
8.0% | -77.6% | 0.40 | 0.10 | 21.7x | 155 | 54% |
| EMA 크로스오버 fast=35, slow=50 |
7.7% | -86.0% | 0.39 | 0.09 | 19.3x | 153 | 54% |
| MACD fast=19, slow=25, signal=23 |
4.1% | -94.3% | 0.28 | 0.04 | 5.0x | 472 | 51% |
| ADX / DI 방향성 period=32, threshold=26 |
2.9% | -33.4% | 0.27 | 0.09 | 3.1x | 42 | 7% |
| ROC 모멘텀 n=101, threshold=0.06 |
3.9% | -76.3% | 0.27 | 0.05 | 4.6x | 402 | 46% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.4% | -92.1% | 0.26 | 0.04 | 3.8x | 334 | 53% |
| Buy and hold | 13.2% | -85.4% | 0.50 | 0.15 | 145.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (2× volatility)
- Sell — Sell when the close falls back to the 46-day middle average