Trend-Following Backtester · Guide · backtest 한국어
equity · IN
MTAR Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of MTAR Technologies Ltd.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 46.7%, MDD -23.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 40.8%, drawdown -56.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 46.7%, MDD -23.8%, Sharpe 1.35, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 47.0%, MDD -33.2%, exposure 53%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 46.7%, MDD -23.8%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=34, threshold=0.06 |
46.7% | -23.8% | 1.35 | 1.96 | 8.1x | 66 | 39% |
| SMA 크로스오버 fast=18, slow=51 |
47.0% | -33.2% | 1.28 | 1.41 | 8.2x | 25 | 53% |
| ADX / DI 방향성 period=38, threshold=16 |
38.9% | -26.2% | 1.17 | 1.49 | 6.0x | 26 | 46% |
| EMA 크로스오버 fast=8, slow=56 |
41.9% | -48.2% | 1.16 | 0.87 | 6.8x | 25 | 57% |
| Supertrend period=22, mult=4.4 |
38.7% | -42.8% | 1.14 | 0.90 | 6.0x | 19 | 51% |
| 볼린저 밴드 돌파 n=45, k=2 |
33.8% | -25.6% | 1.12 | 1.32 | 4.9x | 20 | 33% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=2.6 |
35.1% | -29.4% | 1.10 | 1.19 | 5.2x | 18 | 39% |
| Donchian 채널 돌파 entryN=22, exitN=45 |
38.9% | -39.9% | 1.09 | 0.97 | 6.0x | 15 | 63% |
| MACD fast=18, slow=30, signal=15 |
26.9% | -60.6% | 0.91 | 0.44 | 3.7x | 61 | 49% |
| Parabolic SAR step=0.045, maxStep=0.36 |
21.1% | -49.4% | 0.77 | 0.43 | 2.8x | 177 | 52% |
| Buy and hold | 40.8% | -56.3% | 0.99 | 0.72 | 6.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 34-day return is greater than 6%
- Sell — Sell when the 34-day return drops to 6% or below