Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Mainfreight Limited backtest
10 trend-following strategies were compared on the full daily history of Mainfreight Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.4%, MDD -37.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.4%, drawdown -59.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.4%, MDD -37.5%, Sharpe 0.91, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 15.4%, MDD -37.5%, exposure 65%).
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=52, slow=152 |
15.4% | -37.5% | 0.91 | 0.41 | 44.6x | 25 | 65% |
| SMA 크로스오버 fast=38, slow=212 |
15.0% | -38.3% | 0.88 | 0.39 | 41.2x | 33 | 65% |
| Donchian 채널 돌파 entryN=56, exitN=77 |
14.7% | -40.4% | 0.82 | 0.36 | 38.1x | 33 | 71% |
| ROC 모멘텀 n=167, threshold=0.07 |
12.4% | -39.8% | 0.81 | 0.31 | 22.5x | 118 | 55% |
| Keltner 채널 돌파 emaPeriod=85, atrPeriod=25, mult=3.2 |
10.8% | -30.1% | 0.75 | 0.36 | 15.3x | 69 | 49% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
9.4% | -38.9% | 0.67 | 0.24 | 10.8x | 105 | 47% |
| Supertrend period=26, mult=4.1 |
10.6% | -52.2% | 0.64 | 0.20 | 14.7x | 137 | 63% |
| ADX / DI 방향성 period=30, threshold=20 |
5.8% | -34.6% | 0.53 | 0.17 | 4.5x | 102 | 30% |
| Parabolic SAR step=0.005, maxStep=0.3 |
6.5% | -57.3% | 0.43 | 0.11 | 5.3x | 187 | 58% |
| MACD fast=15, slow=53, signal=38 |
2.3% | -45.8% | 0.21 | 0.05 | 1.8x | 243 | 50% |
| Buy and hold | 14.4% | -59.5% | 0.65 | 0.24 | 35.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 152-day EMA
- Sell — Sell when the 52-day EMA falls below the 152-day EMA