Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Magna International Inc. backtest
10 trend-following strategies were compared on the full daily history of Magna International Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -32.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.2%, drawdown -74.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -48.2%, Sharpe 0.54, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 26.1%p (CAGR 6.0%, MDD -32.3%, exposure 21%).
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=48, slow=188 |
9.7% | -48.2% | 0.54 | 0.20 | 7.5x | 33 | 56% |
| ROC 모멘텀 n=155, threshold=0.23 |
6.9% | -40.4% | 0.51 | 0.17 | 4.3x | 92 | 25% |
| ADX / DI 방향성 period=39, threshold=17 |
6.0% | -32.3% | 0.50 | 0.19 | 3.6x | 50 | 21% |
| Donchian 채널 돌파 entryN=91, exitN=72 |
8.0% | -50.0% | 0.47 | 0.16 | 5.3x | 31 | 50% |
| EMA 크로스오버 fast=57, slow=61 |
7.5% | -48.4% | 0.44 | 0.15 | 4.8x | 51 | 56% |
| Supertrend period=15, mult=2.5 |
4.5% | -66.8% | 0.31 | 0.07 | 2.6x | 186 | 55% |
| Keltner 채널 돌파 emaPeriod=80, atrPeriod=8, mult=3.7 |
3.6% | -53.6% | 0.30 | 0.07 | 2.2x | 52 | 33% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
2.1% | -20.2% | 0.27 | 0.10 | 1.6x | 26 | 14% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.6% | -64.5% | 0.23 | 0.04 | 1.7x | 188 | 54% |
| MACD fast=15, slow=50, signal=18 |
0.4% | -52.2% | 0.13 | 0.01 | 1.1x | 250 | 49% |
| Buy and hold | 6.2% | -74.3% | 0.35 | 0.08 | 3.7x | 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 48-day average price crosses above the 188-day average
- Sell — Sell (to cash) when the 48-day average falls below the 188-day average