Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mitek Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mitek Systems, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 6.2%, drawdown -99.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.4%, MDD -85.0%, Sharpe 0.52, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=41, slow=68 |
15.4% | -85.0% | 0.52 | 0.18 | 213.9x | 145 | 50% |
| Donchian 채널 돌파 entryN=25, exitN=74 |
6.2% | -94.5% | 0.50 | 0.07 | 9.7x | 103 | 72% |
| Parabolic SAR step=0.005, maxStep=0.12 |
8.8% | -95.8% | 0.47 | 0.09 | 24.1x | 256 | 48% |
| EMA 크로스오버 fast=54, slow=138 |
5.0% | -96.7% | 0.39 | 0.05 | 6.2x | 69 | 50% |
| MACD fast=28, slow=44, signal=24 |
1.5% | -99.7% | 0.39 | 0.01 | 1.7x | 308 | 51% |
| Supertrend period=16, mult=5 |
-0.3% | -96.8% | 0.38 | -0.00 | 0.9x | 112 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=3.7 |
2.6% | -87.3% | 0.29 | 0.03 | 2.6x | 96 | 22% |
| 볼린저 밴드 돌파 n=40, k=3.2 |
3.7% | -67.1% | 0.29 | 0.05 | 3.9x | 88 | 15% |
| ADX / DI 방향성 period=16, threshold=25 |
1.6% | -86.4% | 0.26 | 0.02 | 1.8x | 264 | 24% |
| ROC 모멘텀 n=140, threshold=0.08 |
-11.3% | -100.0% | 0.17 | -0.11 | 0.0x | 377 | 46% |
| Buy and hold | 6.2% | -99.7% | 0.58 | 0.06 | 9.5x | 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 41-day average price crosses above the 68-day average
- Sell — Sell (to cash) when the 41-day average falls below the 68-day average