Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marcus Corporation (The) backtest
10 trend-following strategies were compared on the full daily history of Marcus Corporation (The). 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.2%, drawdown -84.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -25.8%, Sharpe 0.41, 11% exposure.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=106, k=3.5 |
3.7% | -25.8% | 0.41 | 0.14 | 5.5x | 19 | 11% |
| ADX / DI 방향성 period=27, threshold=30 |
3.3% | -36.3% | 0.35 | 0.09 | 4.5x | 65 | 12% |
| Donchian 채널 돌파 entryN=15, exitN=78 |
3.7% | -88.8% | 0.28 | 0.04 | 5.3x | 147 | 80% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=28, mult=3.8 |
1.9% | -64.2% | 0.21 | 0.03 | 2.4x | 95 | 18% |
| SMA 크로스오버 fast=23, slow=205 |
2.0% | -85.0% | 0.21 | 0.02 | 2.6x | 95 | 55% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.4% | -94.8% | 0.19 | 0.01 | 1.9x | 351 | 55% |
| EMA 크로스오버 fast=59, slow=87 |
1.6% | -84.3% | 0.19 | 0.02 | 2.0x | 103 | 56% |
| Supertrend period=8, mult=4.8 |
0.4% | -92.2% | 0.15 | 0.00 | 1.2x | 153 | 58% |
| MACD fast=17, slow=52, signal=22 |
-0.9% | -95.8% | 0.11 | -0.01 | 0.7x | 510 | 51% |
| ROC 모멘텀 n=137, threshold=-0.04 |
-4.1% | -97.3% | -0.01 | -0.04 | 0.1x | 477 | 62% |
| Buy and hold | 7.2% | -84.2% | 0.37 | 0.09 | 25.5x | 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 106-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 106-day middle average