Trend-Following Backtester · Guide · backtest 한국어
equity · US
Matson, Inc. backtest
10 trend-following strategies were compared on the full daily history of Matson, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -72.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.6%, MDD -72.1%, Sharpe 0.47, 100% 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 100% n=1, threshold=-0.14 |
10.6% | -72.1% | 0.47 | 0.15 | 218.7x | 11 | 100% |
| Donchian 채널 돌파 entryN=29, exitN=62 |
6.4% | -64.3% | 0.37 | 0.10 | 26.9x | 131 | 66% |
| SMA 크로스오버 fast=55, slow=211 |
6.0% | -74.6% | 0.36 | 0.08 | 22.7x | 77 | 63% |
| Supertrend period=15, mult=4.9 |
5.1% | -68.7% | 0.32 | 0.07 | 13.8x | 151 | 57% |
| EMA 크로스오버 fast=49, slow=185 |
4.0% | -79.0% | 0.28 | 0.05 | 7.9x | 85 | 65% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=5, mult=3.3 |
2.3% | -72.1% | 0.23 | 0.03 | 3.3x | 129 | 22% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.0% | -93.1% | 0.16 | 0.01 | 1.7x | 404 | 52% |
| ADX / DI 방향성 period=33, threshold=29 |
0.2% | -29.6% | 0.07 | 0.01 | 1.1x | 36 | 5% |
| 볼린저 밴드 돌파 n=46, k=2 |
-0.7% | -94.8% | 0.06 | -0.01 | 0.7x | 287 | 36% |
| MACD fast=16, slow=51, signal=18 |
-4.4% | -99.0% | -0.07 | -0.04 | 0.1x | 662 | 51% |
| Buy and hold | 10.6% | -72.1% | 0.46 | 0.15 | 210.2x | 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 1-day return is greater than -14%
- Sell — Sell when the 1-day return drops to -14% or below