Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tetra Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tetra Technologies, Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.4%, MDD -55.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 2.9%, drawdown -99.3%).
Sharpe leader (same as main): Supertrend — CAGR 8.9%, MDD -74.6%, Sharpe 0.41, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 6.4%, MDD -55.7%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=4.5 |
8.9% | -74.6% | 0.41 | 0.12 | 22.3x | 130 | 53% |
| EMA 크로스오버 fast=56, slow=183 |
8.1% | -76.2% | 0.39 | 0.11 | 17.2x | 41 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=4 |
6.4% | -55.7% | 0.38 | 0.12 | 9.7x | 72 | 18% |
| 볼린저 밴드 돌파 n=43, k=2.9 |
6.0% | -78.8% | 0.36 | 0.08 | 8.3x | 72 | 16% |
| Donchian 채널 돌파 entryN=7, exitN=49 |
5.6% | -92.0% | 0.36 | 0.06 | 7.3x | 198 | 83% |
| ADX / DI 방향성 period=14, threshold=29 |
5.4% | -60.5% | 0.33 | 0.09 | 6.9x | 206 | 18% |
| ROC 모멘텀 n=147, threshold=0 |
5.4% | -88.7% | 0.33 | 0.06 | 6.7x | 258 | 55% |
| SMA 크로스오버 fast=36, slow=192 |
4.8% | -71.8% | 0.31 | 0.07 | 5.6x | 59 | 52% |
| MACD fast=15, slow=58, signal=19 |
3.3% | -93.6% | 0.29 | 0.04 | 3.2x | 422 | 53% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.2% | -96.2% | 0.18 | -0.01 | 0.6x | 308 | 52% |
| Buy and hold | 2.9% | -99.3% | 0.35 | 0.03 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)