Trend-Following Backtester · Guide · backtest 한국어
equity · US
Terex Corporation backtest
10 trend-following strategies were compared on the full daily history of Terex Corporation. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.9%, MDD -66.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.2%, drawdown -92.0%).
Sharpe leader (same as main): Supertrend — CAGR 9.9%, MDD -66.2%, Sharpe 0.45, 50% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 9.9%, MDD -66.2%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.1 |
9.9% | -66.2% | 0.45 | 0.15 | 78.7x | 292 | 50% |
| SMA 크로스오버 fast=62, slow=248 |
9.1% | -83.3% | 0.43 | 0.11 | 56.4x | 43 | 53% |
| EMA 크로스오버 fast=49, slow=274 |
8.3% | -71.3% | 0.41 | 0.12 | 40.7x | 43 | 53% |
| Donchian 채널 돌파 entryN=78, exitN=67 |
6.2% | -75.9% | 0.35 | 0.08 | 16.5x | 73 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=2 |
5.5% | -75.6% | 0.33 | 0.07 | 12.1x | 232 | 37% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
4.3% | -77.1% | 0.29 | 0.06 | 7.1x | 188 | 37% |
| ROC 모멘텀 n=70, threshold=-0.02 |
3.3% | -90.1% | 0.27 | 0.04 | 4.6x | 477 | 61% |
| ADX / DI 방향성 period=35, threshold=33 |
2.6% | -76.7% | 0.23 | 0.03 | 3.2x | 6 | 18% |
| Parabolic SAR step=0.02, maxStep=0.34 |
1.3% | -87.1% | 0.22 | 0.01 | 1.8x | 820 | 51% |
| MACD fast=19, slow=32, signal=16 |
0.1% | -90.7% | 0.18 | 0.00 | 1.0x | 566 | 54% |
| Buy and hold | 6.2% | -92.0% | 0.37 | 0.07 | 16.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)