Trend-Following Backtester · Guide · backtest 한국어
equity · AU
MAAS Group Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of MAAS Group Holdings Ltd.. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 16.1%, MDD -26.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.3%, drawdown -61.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.6%, MDD -10.1%, Sharpe 0.83, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.3%, MDD -48.8%, exposure 90%.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 50.9%p (CAGR 16.1%, MDD -26.8%, 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=20, atrPeriod=13, mult=3.3 |
9.6% | -10.1% | 0.83 | 0.95 | 1.7x | 4 | 6% |
| MACD fast=18, slow=22, signal=11 |
15.5% | -33.6% | 0.67 | 0.46 | 2.3x | 74 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
16.1% | -26.8% | 0.67 | 0.60 | 2.3x | 67 | 59% |
| ROC 모멘텀 n=10, threshold=-0.09 |
18.3% | -48.8% | 0.64 | 0.37 | 2.6x | 47 | 90% |
| ADX / DI 방향성 period=16, threshold=38 |
6.7% | -18.3% | 0.63 | 0.37 | 1.5x | 4 | 6% |
| Supertrend period=20, mult=2.3 |
13.2% | -37.8% | 0.58 | 0.35 | 2.0x | 41 | 62% |
| SMA 크로스오버 fast=6, slow=22 |
11.0% | -40.4% | 0.51 | 0.27 | 1.8x | 69 | 56% |
| Donchian 채널 돌파 entryN=33, exitN=11 |
9.4% | -31.8% | 0.51 | 0.29 | 1.7x | 29 | 39% |
| 볼린저 밴드 돌파 n=41, k=1.1 |
8.7% | -35.0% | 0.45 | 0.25 | 1.6x | 44 | 49% |
| EMA 크로스오버 fast=11, slow=31 |
5.1% | -46.6% | 0.32 | 0.11 | 1.3x | 41 | 58% |
| Buy and hold | 12.3% | -61.0% | 0.49 | 0.20 | 1.9x | 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 20-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average