Trend-Following Backtester · Guide · backtest 한국어
equity · US
MasTec, Inc. backtest
10 trend-following strategies were compared on the full daily history of MasTec, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -45.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.5%, drawdown -97.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.6%, MDD -69.0%, Sharpe 0.49, 22% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.9%, MDD -69.8%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 5.3%, MDD -45.7%, exposure 10%).
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=27, k=2.6 |
9.6% | -69.0% | 0.49 | 0.14 | 138.3x | 222 | 22% |
| Donchian 채널 돌파 entryN=113, exitN=39 |
9.8% | -76.1% | 0.48 | 0.13 | 147.6x | 86 | 32% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=25, mult=3.8 |
8.1% | -55.0% | 0.47 | 0.15 | 64.4x | 122 | 19% |
| EMA 크로스오버 fast=38, slow=211 |
10.9% | -69.8% | 0.47 | 0.16 | 249.6x | 70 | 52% |
| SMA 크로스오버 fast=31, slow=215 |
8.6% | -81.3% | 0.41 | 0.11 | 82.0x | 78 | 53% |
| ROC 모멘텀 n=77, threshold=0.09 |
7.7% | -77.7% | 0.39 | 0.10 | 52.3x | 520 | 42% |
| ADX / DI 방향성 period=29, threshold=26 |
5.3% | -45.7% | 0.38 | 0.12 | 15.9x | 88 | 10% |
| MACD fast=18, slow=51, signal=24 |
6.9% | -94.7% | 0.36 | 0.07 | 35.2x | 510 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
3.0% | -90.8% | 0.27 | 0.03 | 4.9x | 844 | 50% |
| Supertrend period=11, mult=2 |
3.1% | -97.7% | 0.27 | 0.03 | 5.2x | 644 | 50% |
| Buy and hold | 5.5% | -97.7% | 0.38 | 0.06 | 17.6x | 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 27-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 27-day middle average