Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mesa Laboratories, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mesa Laboratories, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.9%, MDD -68.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -94.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -68.9%, Sharpe 0.43, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 9.9%, MDD -68.9%, exposure 61%).
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=69, slow=265 |
9.9% | -68.9% | 0.43 | 0.14 | 56.3x | 51 | 61% |
| SMA 크로스오버 fast=49, slow=216 |
8.4% | -61.5% | 0.39 | 0.14 | 30.4x | 63 | 57% |
| Donchian 채널 돌파 entryN=29, exitN=78 |
4.1% | -79.0% | 0.30 | 0.05 | 5.5x | 85 | 67% |
| ADX / DI 방향성 period=35, threshold=25 |
4.5% | -94.6% | 0.30 | 0.05 | 6.4x | 38 | 28% |
| ROC 모멘텀 n=200, threshold=-0.01 |
2.1% | -94.5% | 0.25 | 0.02 | 2.4x | 305 | 62% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=18, mult=3.7 |
2.4% | -69.8% | 0.22 | 0.03 | 2.7x | 91 | 26% |
| Supertrend period=16, mult=4.6 |
-0.2% | -84.2% | 0.19 | -0.00 | 0.9x | 129 | 55% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
1.3% | -66.9% | 0.17 | 0.02 | 1.7x | 107 | 25% |
| MACD fast=31, slow=88, signal=71 |
-0.4% | -86.1% | 0.17 | -0.00 | 0.8x | 197 | 52% |
| Parabolic SAR step=0.05, maxStep=0.32 |
-9.3% | -99.6% | -0.03 | -0.09 | 0.0x | 1199 | 55% |
| Buy and hold | 9.2% | -94.9% | 0.43 | 0.10 | 42.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 69-day EMA crosses above the 265-day EMA
- Sell — Sell when the 69-day EMA falls below the 265-day EMA