Trend-Following Backtester · Guide · backtest 한국어
equity · TW
MPI Corporation backtest
10 trend-following strategies were compared on the full daily history of MPI Corporation. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 35.6%, MDD -43.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 24.5%, drawdown -82.3%).
Sharpe leader (same as main): Supertrend — CAGR 35.6%, MDD -43.2%, Sharpe 1.05, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 39.3%, MDD -46.1%, exposure 70%.
Return/drawdown alternative: Supertrend — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 35.6%, MDD -43.2%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=3.1 |
35.6% | -43.2% | 1.05 | 0.82 | 288.1x | 110 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=26 |
39.3% | -46.1% | 1.03 | 0.85 | 472.6x | 98 | 70% |
| ADX / DI 방향성 period=28, threshold=14 |
32.0% | -51.8% | 0.96 | 0.62 | 174.5x | 106 | 49% |
| EMA 크로스오버 fast=12, slow=113 |
30.1% | -49.4% | 0.89 | 0.61 | 133.8x | 49 | 56% |
| ROC 모멘텀 n=110, threshold=-0.02 |
27.5% | -62.4% | 0.83 | 0.44 | 92.0x | 129 | 59% |
| Parabolic SAR step=0.015, maxStep=0.26 |
24.5% | -53.2% | 0.81 | 0.46 | 59.0x | 284 | 51% |
| SMA 크로스오버 fast=39, slow=146 |
25.7% | -65.1% | 0.79 | 0.39 | 70.2x | 31 | 55% |
| 볼린저 밴드 돌파 n=26, k=1.7 |
22.0% | -51.3% | 0.79 | 0.43 | 40.1x | 146 | 37% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=2.1 |
22.6% | -61.7% | 0.78 | 0.37 | 43.8x | 106 | 41% |
| MACD fast=16, slow=29, signal=11 |
17.7% | -59.0% | 0.65 | 0.30 | 20.7x | 260 | 53% |
| Buy and hold | 24.5% | -82.3% | 0.70 | 0.30 | 58.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)