Trend-Following Backtester · Guide · backtest 한국어
equity · US
TriMas Corporation backtest
10 trend-following strategies were compared on the full daily history of TriMas Corporation. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.0%, MDD -49.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.8%, drawdown -94.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.0%, MDD -49.4%, Sharpe 0.49, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 10.0%, MDD -49.4%, exposure 55%).
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=45, slow=199 |
10.0% | -49.4% | 0.49 | 0.20 | 6.2x | 27 | 55% |
| SMA 크로스오버 fast=13, slow=284 |
9.5% | -53.8% | 0.48 | 0.18 | 5.7x | 41 | 53% |
| MACD fast=20, slow=55, signal=11 |
9.0% | -64.9% | 0.43 | 0.14 | 5.2x | 226 | 53% |
| Donchian 채널 돌파 entryN=93, exitN=74 |
7.6% | -64.2% | 0.40 | 0.12 | 4.1x | 33 | 50% |
| ROC 모멘텀 n=95, threshold=0.06 |
7.6% | -74.9% | 0.40 | 0.10 | 4.1x | 191 | 44% |
| Supertrend period=26, mult=2.4 |
5.1% | -70.4% | 0.32 | 0.07 | 2.6x | 168 | 52% |
| Parabolic SAR step=0.01, maxStep=0.38 |
4.9% | -71.8% | 0.31 | 0.07 | 2.5x | 266 | 52% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=25, mult=3.3 |
1.6% | -46.4% | 0.18 | 0.03 | 1.3x | 44 | 14% |
| ADX / DI 방향성 period=32, threshold=13 |
0.8% | -84.5% | 0.16 | 0.01 | 1.2x | 146 | 32% |
| 볼린저 밴드 돌파 n=24, k=3.2 |
0.8% | -27.1% | 0.14 | 0.03 | 1.2x | 30 | 7% |
| Buy and hold | 7.8% | -94.0% | 0.40 | 0.08 | 4.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 45-day EMA crosses above the 199-day EMA
- Sell — Sell when the 45-day EMA falls below the 199-day EMA