Trend-Following Backtester · Guide · backtest 한국어
equity · US
MSA Safety Incorporated backtest
10 trend-following strategies were compared on the full daily history of MSA Safety Incorporated. 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 10.8%, drawdown -71.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -44.8%, Sharpe 0.44, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.1%, MDD -65.0%, exposure 60%.
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=48, k=3.5 |
4.3% | -44.8% | 0.44 | 0.10 | 9.7x | 59 | 14% |
| SMA 크로스오버 fast=48, slow=202 |
7.1% | -65.0% | 0.40 | 0.11 | 39.7x | 73 | 60% |
| EMA 크로스오버 fast=53, slow=109 |
6.8% | -61.0% | 0.39 | 0.11 | 34.3x | 83 | 60% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.3% | -68.9% | 0.38 | 0.09 | 26.9x | 403 | 55% |
| ADX / DI 방향성 period=34, threshold=37 |
4.1% | -58.4% | 0.36 | 0.07 | 8.4x | 18 | 27% |
| Supertrend period=21, mult=4.6 |
5.2% | -67.0% | 0.33 | 0.08 | 15.2x | 155 | 58% |
| Donchian 채널 돌파 entryN=104, exitN=56 |
4.2% | -49.1% | 0.31 | 0.09 | 9.0x | 92 | 42% |
| MACD fast=31, slow=43, signal=27 |
3.1% | -77.7% | 0.25 | 0.04 | 5.2x | 405 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=29, mult=2.2 |
1.5% | -65.3% | 0.17 | 0.02 | 2.2x | 217 | 37% |
| ROC 모멘텀 n=118, threshold=0.02 |
-0.1% | -96.6% | 0.11 | -0.00 | 1.0x | 499 | 54% |
| Buy and hold | 10.8% | -71.5% | 0.47 | 0.15 | 238.9x | 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 48-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 48-day middle average