Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mativ Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mativ Holdings, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -18.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.2%, drawdown -92.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.2%, MDD -18.8%, Sharpe 0.32, 5% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 2.8%, MDD -35.4%, exposure 16%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 2.2%, MDD -18.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=35, k=3.4 |
2.2% | -18.8% | 0.32 | 0.11 | 1.9x | 20 | 5% |
| ADX / DI 방향성 period=19, threshold=34 |
2.2% | -24.4% | 0.29 | 0.09 | 2.0x | 46 | 6% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=22, mult=3.6 |
2.8% | -35.4% | 0.29 | 0.08 | 2.4x | 66 | 16% |
| Donchian 채널 돌파 entryN=14, exitN=30 |
2.1% | -72.3% | 0.22 | 0.03 | 1.9x | 163 | 64% |
| SMA 크로스오버 fast=73, slow=111 |
1.1% | -85.3% | 0.18 | 0.01 | 1.4x | 84 | 50% |
| Supertrend period=16, mult=4 |
1.0% | -70.2% | 0.17 | 0.01 | 1.3x | 142 | 54% |
| EMA 크로스오버 fast=21, slow=52 |
0.0% | -74.7% | 0.14 | 0.00 | 1.0x | 128 | 51% |
| ROC 모멘텀 n=133, threshold=0.08 |
-1.3% | -75.1% | 0.06 | -0.02 | 0.7x | 216 | 36% |
| MACD fast=21, slow=48, signal=19 |
-2.7% | -87.6% | 0.04 | -0.03 | 0.4x | 311 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.6% | -87.0% | 0.03 | -0.03 | 0.4x | 265 | 50% |
| Buy and hold | -1.2% | -92.7% | 0.18 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 35-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 35-day middle average