Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tyler Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tyler Technologies, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -90.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -86.8%, Sharpe 0.47, 59% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=123 |
10.3% | -86.8% | 0.47 | 0.12 | 94.4x | 100 | 59% |
| Donchian 채널 돌파 entryN=39, exitN=55 |
8.4% | -86.7% | 0.41 | 0.10 | 42.3x | 121 | 62% |
| EMA 크로스오버 fast=34, slow=42 |
8.0% | -88.5% | 0.41 | 0.09 | 35.6x | 163 | 59% |
| Supertrend period=25, mult=5 |
6.6% | -84.3% | 0.37 | 0.08 | 19.2x | 125 | 57% |
| 볼린저 밴드 돌파 n=71, k=1.6 |
6.2% | -86.1% | 0.36 | 0.07 | 16.1x | 177 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=12, mult=3.6 |
4.6% | -78.0% | 0.32 | 0.06 | 8.3x | 127 | 31% |
| ROC 모멘텀 n=131, threshold=0.09 |
2.3% | -96.5% | 0.24 | 0.02 | 2.9x | 383 | 48% |
| MACD fast=31, slow=58, signal=31 |
1.5% | -88.4% | 0.23 | 0.02 | 2.0x | 313 | 52% |
| ADX / DI 방향성 period=35, threshold=36 |
0.7% | -18.2% | 0.16 | 0.04 | 1.4x | 6 | 1% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-3.5% | -93.9% | 0.07 | -0.04 | 0.2x | 553 | 54% |
| Buy and hold | 11.7% | -90.1% | 0.47 | 0.13 | 170.9x | 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 40-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 40-day average falls below the 123-day average