Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mastercard Incorporated backtest
10 trend-following strategies were compared on the full daily history of Mastercard Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.0%, drawdown -62.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.4%, MDD -54.9%, Sharpe 0.93, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=20, threshold=-0.15 |
26.4% | -54.9% | 0.93 | 0.48 | 113.9x | 43 | 98% |
| Donchian 채널 돌파 entryN=39, exitN=90 |
21.0% | -50.9% | 0.84 | 0.41 | 47.0x | 27 | 85% |
| EMA 크로스오버 fast=57, slow=65 |
17.6% | -48.2% | 0.76 | 0.37 | 26.5x | 39 | 78% |
| SMA 크로스오버 fast=53, slow=138 |
17.4% | -41.0% | 0.75 | 0.42 | 25.4x | 26 | 77% |
| Supertrend period=17, mult=5 |
14.3% | -40.1% | 0.71 | 0.36 | 14.9x | 61 | 63% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=3.4 |
7.2% | -19.1% | 0.54 | 0.38 | 4.1x | 63 | 33% |
| 볼린저 밴드 돌파 n=77, k=2.3 |
8.2% | -34.4% | 0.53 | 0.24 | 4.9x | 49 | 41% |
| ADX / DI 방향성 period=25, threshold=36 |
3.1% | -11.9% | 0.49 | 0.26 | 1.9x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.4% | -78.7% | 0.10 | -0.00 | 0.9x | 379 | 61% |
| MACD fast=15, slow=22, signal=19 |
-1.9% | -79.8% | 0.02 | -0.02 | 0.7x | 335 | 51% |
| Buy and hold | 27.0% | -62.8% | 0.90 | 0.43 | 123.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 20-day return is greater than -15%
- Sell — Sell when the 20-day return drops to -15% or below