Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mayville Engineering Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mayville Engineering Company, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.6%, MDD -31.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.3%, drawdown -76.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.6%, MDD -31.2%, Sharpe 0.82, 45% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 19.3%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 25.6%, MDD -31.2%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=26 |
25.6% | -31.2% | 0.82 | 0.82 | 5.2x | 16 | 45% |
| EMA 크로스오버 fast=5, slow=58 |
23.0% | -48.3% | 0.73 | 0.48 | 4.5x | 38 | 49% |
| 볼린저 밴드 돌파 n=58, k=0.9 |
21.7% | -37.9% | 0.72 | 0.57 | 4.1x | 32 | 46% |
| SMA 크로스오버 fast=38, slow=98 |
20.4% | -44.2% | 0.68 | 0.46 | 3.8x | 17 | 49% |
| Supertrend period=24, mult=4.2 |
20.7% | -43.7% | 0.68 | 0.47 | 3.9x | 20 | 51% |
| ADX / DI 방향성 period=28, threshold=10 |
19.6% | -50.0% | 0.67 | 0.39 | 3.6x | 68 | 46% |
| ROC 모멘텀 n=141, threshold=0.05 |
18.4% | -42.2% | 0.63 | 0.44 | 3.4x | 25 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3.9 |
4.0% | -7.6% | 0.50 | 0.52 | 1.3x | 2 | 2% |
| Parabolic SAR step=0.005, maxStep=0.22 |
8.3% | -43.3% | 0.40 | 0.19 | 1.8x | 58 | 49% |
| MACD fast=23, slow=43, signal=20 |
-9.2% | -82.2% | -0.02 | -0.11 | 0.5x | 80 | 49% |
| Buy and hold | 6.3% | -76.6% | 0.40 | 0.08 | 1.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 26 days