Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Mattr Corp backtest
10 trend-following strategies were compared on the full daily history of Mattr Corp. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.2%, MDD -46.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.6%, drawdown -98.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.2%, MDD -59.1%, Sharpe 0.49, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.3%, MDD -71.1%, exposure 65%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 5.2%, MDD -46.8%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=60 |
10.2% | -59.1% | 0.49 | 0.17 | 21.6x | 99 | 52% |
| SMA 크로스오버 fast=7, slow=150 |
9.7% | -61.6% | 0.47 | 0.16 | 18.4x | 91 | 52% |
| Donchian 채널 돌파 entryN=26, exitN=44 |
10.3% | -71.1% | 0.46 | 0.14 | 22.0x | 97 | 65% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
7.7% | -55.9% | 0.46 | 0.14 | 10.3x | 39 | 17% |
| ROC 모멘텀 n=92, threshold=0.07 |
8.8% | -60.9% | 0.45 | 0.14 | 14.2x | 277 | 44% |
| Parabolic SAR step=0.005, maxStep=0.08 |
8.4% | -77.6% | 0.40 | 0.11 | 12.7x | 233 | 48% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=3.6 |
6.2% | -55.9% | 0.40 | 0.11 | 6.6x | 65 | 22% |
| ADX / DI 방향성 period=18, threshold=27 |
5.2% | -46.8% | 0.38 | 0.11 | 5.0x | 111 | 16% |
| MACD fast=23, slow=59, signal=21 |
7.0% | -86.2% | 0.36 | 0.08 | 8.5x | 259 | 52% |
| Supertrend period=20, mult=4.9 |
6.5% | -66.1% | 0.36 | 0.10 | 7.2x | 89 | 54% |
| Buy and hold | 4.6% | -98.7% | 0.33 | 0.05 | 4.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 60-day EMA
- Sell — Sell when the 31-day EMA falls below the 60-day EMA