Trend-Following Backtester · Guide · backtest 한국어
equity · US
MUELLER WATER PRODUCTS backtest
10 trend-following strategies were compared on the full daily history of MUELLER WATER PRODUCTS. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.3%, MDD -37.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.0%, drawdown -91.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.3%, MDD -37.4%, Sharpe 0.39, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 54.5%p (CAGR 6.3%, MDD -37.4%, exposure 37%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=88, threshold=8 |
6.3% | -37.4% | 0.39 | 0.17 | 3.4x | 70 | 37% |
| ROC 모멘텀 n=119, threshold=0.03 |
5.5% | -53.1% | 0.33 | 0.10 | 2.9x | 140 | 50% |
| SMA 크로스오버 fast=38, slow=118 |
3.9% | -56.7% | 0.28 | 0.07 | 2.2x | 40 | 58% |
| EMA 크로스오버 fast=41, slow=115 |
3.2% | -60.4% | 0.25 | 0.05 | 1.9x | 40 | 55% |
| Donchian 채널 돌파 entryN=81, exitN=78 |
1.4% | -75.5% | 0.20 | 0.02 | 1.3x | 28 | 59% |
| MACD fast=10, slow=30, signal=9 |
-1.4% | -71.0% | 0.11 | -0.02 | 0.8x | 393 | 50% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=7, mult=3.6 |
-1.1% | -57.7% | 0.03 | -0.02 | 0.8x | 50 | 28% |
| Supertrend period=15, mult=2.8 |
-5.1% | -73.9% | -0.02 | -0.07 | 0.3x | 160 | 53% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
-0.6% | -36.0% | -0.03 | -0.02 | 0.9x | 42 | 6% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-6.8% | -89.7% | -0.07 | -0.08 | 0.2x | 491 | 52% |
| Buy and hold | 2.0% | -91.9% | 0.28 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 88-day) is ≥ 8
- Sell — Sell when direction flips or the trend weakens (ADX < 8)