Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marcus & Millichap, Inc. backtest
10 trend-following strategies were compared on the full daily history of Marcus & Millichap, Inc.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.3%, MDD -36.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -64.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -12.8%, Sharpe 0.45, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.3%, MDD -47.3%, exposure 60%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 51.3%p (CAGR 6.3%, MDD -36.9%, exposure 38%).
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=17, k=2.8 |
3.1% | -12.8% | 0.45 | 0.24 | 1.5x | 21 | 7% |
| Donchian 채널 돌파 entryN=49, exitN=63 |
7.3% | -47.3% | 0.41 | 0.16 | 2.5x | 25 | 60% |
| ROC 모멘텀 n=124, threshold=0.11 |
6.3% | -36.9% | 0.39 | 0.17 | 2.2x | 81 | 38% |
| EMA 크로스오버 fast=14, slow=120 |
5.2% | -46.1% | 0.33 | 0.11 | 1.9x | 45 | 53% |
| Supertrend period=30, mult=4.7 |
3.6% | -47.5% | 0.27 | 0.07 | 1.6x | 43 | 56% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=2.6 |
2.7% | -37.0% | 0.24 | 0.07 | 1.4x | 49 | 34% |
| SMA 크로스오버 fast=33, slow=113 |
2.7% | -65.7% | 0.23 | 0.04 | 1.4x | 29 | 55% |
| ADX / DI 방향성 period=17, threshold=37 |
0.9% | -14.8% | 0.17 | 0.06 | 1.1x | 18 | 4% |
| MACD fast=17, slow=59, signal=13 |
-4.6% | -55.7% | -0.08 | -0.08 | 0.5x | 161 | 50% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-6.8% | -76.6% | -0.19 | -0.09 | 0.4x | 265 | 54% |
| Buy and hold | 6.9% | -64.1% | 0.37 | 0.11 | 2.3x | 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 17-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 17-day middle average