Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Macmahon Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Macmahon Holdings Limited. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.6%, MDD -56.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.5%, drawdown -97.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.6%, MDD -56.1%, Sharpe 0.44, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 8.6%, MDD -56.1%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=121, atrPeriod=13, mult=3.8 |
8.6% | -56.1% | 0.44 | 0.15 | 24.1x | 67 | 32% |
| EMA 크로스오버 fast=51, slow=203 |
8.5% | -71.7% | 0.41 | 0.12 | 23.3x | 43 | 47% |
| ROC 모멘텀 n=164, threshold=0.23 |
5.6% | -65.3% | 0.34 | 0.09 | 8.3x | 165 | 29% |
| SMA 크로스오버 fast=51, slow=173 |
5.7% | -83.4% | 0.33 | 0.07 | 8.5x | 55 | 47% |
| Donchian 채널 돌파 entryN=112, exitN=58 |
5.1% | -83.8% | 0.31 | 0.06 | 6.7x | 57 | 38% |
| Parabolic SAR step=0.015, maxStep=0.28 |
1.9% | -85.1% | 0.24 | 0.02 | 2.0x | 411 | 51% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
2.2% | -64.9% | 0.21 | 0.03 | 2.3x | 66 | 13% |
| ADX / DI 방향성 period=35, threshold=29 |
1.2% | -68.5% | 0.15 | 0.02 | 1.6x | 68 | 16% |
| Supertrend period=28, mult=5 |
-4.4% | -96.5% | 0.05 | -0.05 | 0.2x | 147 | 50% |
| MACD fast=18, slow=54, signal=15 |
-7.0% | -95.8% | 0.01 | -0.07 | 0.1x | 445 | 51% |
| Buy and hold | -0.5% | -97.9% | 0.27 | -0.00 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 121-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 121-day average