Trend-Following Backtester · Guide · backtest 한국어
equity · US
MGIC Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of MGIC Investment Corporation. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.9%, MDD -47.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.2%, drawdown -98.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.8%, MDD -57.8%, Sharpe 0.52, 58% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 9.9%, MDD -47.8%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=68 |
11.8% | -57.8% | 0.52 | 0.20 | 49.3x | 147 | 58% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=6, mult=1.9 |
9.9% | -47.8% | 0.49 | 0.21 | 26.9x | 135 | 50% |
| Donchian 채널 돌파 entryN=52, exitN=62 |
10.5% | -69.5% | 0.47 | 0.15 | 33.2x | 75 | 62% |
| SMA 크로스오버 fast=21, slow=94 |
10.0% | -66.8% | 0.47 | 0.15 | 28.4x | 107 | 60% |
| Supertrend period=6, mult=5 |
9.5% | -90.8% | 0.44 | 0.11 | 24.3x | 117 | 57% |
| ROC 모멘텀 n=76, threshold=-0.01 |
7.3% | -74.3% | 0.38 | 0.10 | 11.8x | 345 | 61% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
4.6% | -76.1% | 0.30 | 0.06 | 4.7x | 229 | 46% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.5% | -94.7% | 0.27 | 0.04 | 3.3x | 293 | 53% |
| ADX / DI 방향성 period=39, threshold=11 |
3.4% | -76.8% | 0.26 | 0.04 | 3.2x | 261 | 42% |
| MACD fast=12, slow=37, signal=11 |
0.1% | -93.1% | 0.22 | 0.00 | 1.0x | 569 | 49% |
| Buy and hold | 4.2% | -98.9% | 0.37 | 0.04 | 4.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 68-day EMA
- Sell — Sell when the 13-day EMA falls below the 68-day EMA