Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mettler-Toledo International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mettler-Toledo International, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.2%, drawdown -61.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -39.8%, Sharpe 0.60, 69% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.8%, MDD -48.9%, exposure 85%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=135 |
12.2% | -39.8% | 0.60 | 0.31 | 27.2x | 48 | 69% |
| ROC 모멘텀 n=190, threshold=-0.12 |
12.8% | -48.9% | 0.58 | 0.26 | 31.4x | 79 | 85% |
| Donchian 채널 돌파 entryN=27, exitN=71 |
11.3% | -47.7% | 0.55 | 0.24 | 21.7x | 65 | 77% |
| EMA 크로스오버 fast=55, slow=112 |
9.3% | -49.7% | 0.49 | 0.19 | 12.8x | 43 | 70% |
| Supertrend period=17, mult=3.7 |
8.0% | -47.3% | 0.46 | 0.17 | 9.1x | 135 | 64% |
| ADX / DI 방향성 period=29, threshold=17 |
4.1% | -36.9% | 0.36 | 0.11 | 3.2x | 136 | 28% |
| Parabolic SAR step=0.005, maxStep=0.26 |
4.3% | -50.3% | 0.30 | 0.08 | 3.3x | 257 | 60% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=15, mult=1 |
4.0% | -71.3% | 0.29 | 0.06 | 3.1x | 231 | 58% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
3.5% | -72.8% | 0.27 | 0.05 | 2.7x | 183 | 53% |
| MACD fast=18, slow=58, signal=18 |
1.4% | -68.8% | 0.17 | 0.02 | 1.5x | 315 | 51% |
| Buy and hold | 17.2% | -61.4% | 0.66 | 0.28 | 94.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 55-day average falls below the 135-day average