Trend-Following Backtester · Guide · backtest 한국어
equity · US
Myers Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Myers Industries, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -87.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -35.3%, Sharpe 0.45, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.0%, MDD -90.4%, exposure 77%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=18, threshold=71 |
2.7% | -35.3% | 0.45 | 0.08 | 3.4x | 12 | 4% |
| 볼린저 밴드 돌파 n=11, k=3.1 |
2.5% | -19.5% | 0.44 | 0.13 | 3.2x | 24 | 2% |
| ROC 모멘텀 n=192, threshold=-0.11 |
3.0% | -90.4% | 0.25 | 0.03 | 3.9x | 301 | 77% |
| Donchian 채널 돌파 entryN=7, exitN=39 |
2.7% | -90.6% | 0.25 | 0.03 | 3.4x | 299 | 78% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.5% | -91.0% | 0.23 | 0.03 | 3.2x | 341 | 55% |
| EMA 크로스오버 fast=59, slow=102 |
1.4% | -87.1% | 0.19 | 0.02 | 1.9x | 87 | 62% |
| Supertrend period=19, mult=4.2 |
1.5% | -93.4% | 0.19 | 0.02 | 2.0x | 229 | 54% |
| SMA 크로스오버 fast=32, slow=177 |
1.3% | -84.3% | 0.19 | 0.02 | 1.8x | 93 | 60% |
| MACD fast=19, slow=56, signal=17 |
0.9% | -94.7% | 0.17 | 0.01 | 1.5x | 509 | 50% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=15, mult=2.8 |
0.3% | -78.4% | 0.10 | 0.00 | 1.1x | 195 | 20% |
| Buy and hold | 10.8% | -87.1% | 0.46 | 0.12 | 116.3x | 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, 18-day) is ≥ 71
- Sell — Sell when direction flips or the trend weakens (ADX < 71)