Trend-Following Backtester · Guide · backtest 한국어
equity · US
MYR Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of MYR Group, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.2%, MDD -48.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.1%, drawdown -64.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.2%, MDD -48.8%, Sharpe 0.67, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 15.9%p (CAGR 17.2%, MDD -48.8%, exposure 60%).
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=20, slow=80 |
17.2% | -48.8% | 0.67 | 0.35 | 17.4x | 56 | 60% |
| Supertrend period=16, mult=4.4 |
15.9% | -68.3% | 0.63 | 0.23 | 14.3x | 54 | 62% |
| Donchian 채널 돌파 entryN=22, exitN=40 |
15.2% | -62.1% | 0.59 | 0.25 | 12.8x | 62 | 69% |
| EMA 크로스오버 fast=30, slow=54 |
13.7% | -53.7% | 0.58 | 0.26 | 10.1x | 54 | 62% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
9.5% | -31.1% | 0.53 | 0.30 | 5.1x | 50 | 33% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=3.1 |
9.8% | -49.0% | 0.52 | 0.20 | 5.4x | 58 | 36% |
| MACD fast=24, slow=43, signal=32 |
9.9% | -64.5% | 0.47 | 0.15 | 5.5x | 138 | 49% |
| ROC 모멘텀 n=54, threshold=0 |
8.3% | -79.6% | 0.41 | 0.10 | 4.2x | 226 | 59% |
| ADX / DI 방향성 period=33, threshold=13 |
5.1% | -72.3% | 0.33 | 0.07 | 2.4x | 114 | 37% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.7% | -88.1% | 0.08 | -0.03 | 0.6x | 176 | 56% |
| Buy and hold | 18.1% | -64.6% | 0.60 | 0.28 | 20.0x | 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 20-day average price crosses above the 80-day average
- Sell — Sell (to cash) when the 20-day average falls below the 80-day average