Trend-Following Backtester · Guide · backtest 한국어
equity · US
Turning Point Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Turning Point Brands, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.2%, MDD -35.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.3%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.2%, MDD -41.6%, Sharpe 0.91, 60% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 23.2%, MDD -35.4%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=7, slow=209 |
27.2% | -41.6% | 0.91 | 0.65 | 12.0x | 18 | 60% |
| ADX / DI 방향성 period=50, threshold=13 |
23.2% | -35.4% | 0.90 | 0.66 | 8.6x | 34 | 40% |
| EMA 크로스오버 fast=6, slow=198 |
26.3% | -44.8% | 0.88 | 0.59 | 11.1x | 14 | 58% |
| Donchian 채널 돌파 entryN=85, exitN=65 |
22.1% | -42.6% | 0.82 | 0.52 | 7.8x | 10 | 48% |
| ROC 모멘텀 n=179, threshold=0.14 |
23.0% | -40.9% | 0.82 | 0.56 | 8.5x | 64 | 56% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=28, mult=1.2 |
22.1% | -49.2% | 0.80 | 0.45 | 7.8x | 46 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
16.0% | -68.9% | 0.60 | 0.23 | 4.6x | 78 | 54% |
| Supertrend period=26, mult=2.3 |
15.7% | -73.5% | 0.60 | 0.21 | 4.5x | 91 | 52% |
| 볼린저 밴드 돌파 n=32, k=2.5 |
10.2% | -34.5% | 0.53 | 0.30 | 2.7x | 42 | 27% |
| MACD fast=15, slow=59, signal=14 |
9.1% | -80.8% | 0.43 | 0.11 | 2.4x | 121 | 52% |
| Buy and hold | 22.3% | -72.8% | 0.66 | 0.31 | 8.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 7-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 7-day average falls below the 209-day average