Trend-Following Backtester · Guide · backtest 한국어
equity · US
MARA Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of MARA Holdings, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 36.6%, MDD -74.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.5%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 36.6%, MDD -74.1%, Sharpe 0.70, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 52.1%p higher than buy and hold, while drawdown improves by 25.6%p (CAGR 36.6%, MDD -74.1%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=21 |
36.6% | -74.1% | 0.70 | 0.49 | 86.8x | 52 | 23% |
| 볼린저 밴드 돌파 n=20, k=1.7 |
29.9% | -87.0% | 0.65 | 0.34 | 42.5x | 126 | 28% |
| Donchian 채널 돌파 entryN=10, exitN=110 |
2.3% | -97.7% | 0.60 | 0.02 | 1.4x | 41 | 82% |
| SMA 크로스오버 fast=52, slow=73 |
22.2% | -87.1% | 0.59 | 0.26 | 17.7x | 48 | 46% |
| ROC 모멘텀 n=55, threshold=0.06 |
21.4% | -79.6% | 0.58 | 0.27 | 16.1x | 184 | 40% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=22, mult=1.2 |
17.8% | -80.0% | 0.54 | 0.22 | 10.5x | 98 | 30% |
| MACD fast=19, slow=44, signal=19 |
8.5% | -96.1% | 0.52 | 0.09 | 3.2x | 131 | 52% |
| Supertrend period=10, mult=5 |
9.3% | -90.4% | 0.52 | 0.10 | 3.6x | 40 | 53% |
| EMA 크로스오버 fast=13, slow=204 |
15.1% | -82.6% | 0.52 | 0.18 | 7.5x | 24 | 32% |
| Parabolic SAR step=0.04, maxStep=0.32 |
-0.8% | -96.3% | 0.40 | -0.01 | 0.9x | 409 | 44% |
| Buy and hold | -15.5% | -99.7% | 0.53 | -0.16 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 22-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)