Trend-Following Backtester · Guide · backtest 한국어

equity · US

Maximus, Inc. backtest

10 trend-following strategies were compared on the full daily history of Maximus, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 1997-06-13 ~ 2026-07-31daily bars 7,328 (29.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 9.3%, drawdown -61.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -57.9%, Sharpe 0.35, 89% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=5, exitN=61
6.0%-57.9%0.350.105.5x12189%
ROC 모멘텀
n=150, threshold=-0.07
5.4%-52.1%0.330.104.6x14272%
EMA 크로스오버
fast=25, slow=176
3.7%-62.2%0.270.062.9x5064%
SMA 크로스오버
fast=21, slow=168
3.4%-61.4%0.260.062.6x6261%
Supertrend
period=16, mult=4.6
3.3%-66.5%0.260.052.6x10855%
볼린저 밴드 돌파
n=51, k=3.5
1.2%-17.3%0.210.071.4x187%
MACD
fast=20, slow=28, signal=35
0.4%-78.8%0.130.001.1x28352%
ADX / DI 방향성
period=39, threshold=30
0.1%-30.0%0.050.001.0x143%
Parabolic SAR
step=0.005, maxStep=0.16
-1.5%-85.7%0.05-0.020.6x26753%
Keltner 채널 돌파
emaPeriod=32, atrPeriod=18, mult=2.2
-0.8%-71.8%0.04-0.010.8x16831%
Buy and hold9.3%-61.4%0.430.1513.3x1100%
1x 10x 1998 2002 2006 2010 2014 2018 2022 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -15% -31% -46% -61% 1998 2002 2006 2010 2014 2018 2022 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -57.9% (2001-08-14 → 2003-04-16), recovered after 2,094 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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