Trend-Following Backtester · Guide · backtest 한국어
equity · US
TransUnion backtest
10 trend-following strategies were compared on the full daily history of TransUnion. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.0%, MDD -29.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -65.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.0%, MDD -24.2%, Sharpe 0.62, 39% exposure.
CAGR reference leader: Supertrend — CAGR 11.0%, MDD -29.2%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 41.1%p (CAGR 11.0%, MDD -29.2%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=2.3 |
9.0% | -24.2% | 0.62 | 0.37 | 2.6x | 43 | 39% |
| Supertrend period=16, mult=5 |
11.0% | -29.2% | 0.62 | 0.38 | 3.2x | 31 | 59% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
8.4% | -32.5% | 0.57 | 0.26 | 2.5x | 51 | 41% |
| Donchian 채널 돌파 entryN=47, exitN=14 |
8.4% | -32.7% | 0.56 | 0.26 | 2.5x | 43 | 39% |
| SMA 크로스오버 fast=9, slow=143 |
8.5% | -44.9% | 0.49 | 0.19 | 2.5x | 31 | 60% |
| MACD fast=19, slow=73, signal=19 |
8.6% | -50.7% | 0.49 | 0.17 | 2.5x | 97 | 50% |
| ROC 모멘텀 n=124, threshold=0.11 |
6.9% | -30.9% | 0.48 | 0.22 | 2.1x | 90 | 44% |
| EMA 크로스오버 fast=24, slow=148 |
7.9% | -46.6% | 0.46 | 0.17 | 2.3x | 21 | 61% |
| ADX / DI 방향성 period=15, threshold=20 |
4.9% | -37.6% | 0.39 | 0.13 | 1.7x | 109 | 37% |
| Parabolic SAR step=0.02, maxStep=0.04 |
5.8% | -53.4% | 0.37 | 0.11 | 1.9x | 123 | 61% |
| Buy and hold | 11.3% | -65.3% | 0.49 | 0.17 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 47-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average