Trend-Following Backtester · Guide · backtest 한국어
equity · US
MP Materials Corp. backtest
10 trend-following strategies were compared on the full daily history of MP Materials Corp.. 3 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 32.0%, MDD -46.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 31.5%, drawdown -82.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 41.1%, MDD -54.5%, Sharpe 0.93, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 32.0%, MDD -46.8%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.16 |
41.1% | -54.5% | 0.93 | 0.75 | 8.4x | 133 | 48% |
| EMA 크로스오버 fast=73, slow=95 |
40.9% | -57.1% | 0.86 | 0.72 | 8.4x | 6 | 51% |
| Supertrend period=16, mult=2.3 |
32.0% | -46.8% | 0.79 | 0.68 | 5.6x | 63 | 49% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
24.6% | -35.6% | 0.73 | 0.69 | 3.9x | 6 | 14% |
| ADX / DI 방향성 period=37, threshold=23 |
20.0% | -47.3% | 0.71 | 0.42 | 3.1x | 4 | 13% |
| MACD fast=17, slow=57, signal=18 |
24.6% | -52.9% | 0.67 | 0.47 | 3.9x | 61 | 44% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=3.6 |
16.9% | -40.5% | 0.63 | 0.42 | 2.6x | 8 | 10% |
| ROC 모멘텀 n=97, threshold=-0.03 |
20.4% | -70.6% | 0.60 | 0.29 | 3.1x | 63 | 48% |
| SMA 크로스오버 fast=57, slow=160 |
15.0% | -57.4% | 0.52 | 0.26 | 2.4x | 10 | 40% |
| Donchian 채널 돌파 entryN=77, exitN=24 |
4.1% | -77.5% | 0.31 | 0.05 | 1.3x | 16 | 27% |
| Buy and hold | 31.5% | -82.0% | 0.73 | 0.38 | 5.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots