Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Magellan Aerospace Corporation backtest
10 trend-following strategies were compared on the full daily history of Magellan Aerospace Corporation. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -66.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.1%, drawdown -99.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -66.9%, Sharpe 0.46, 55% exposure.
CAGR reference leader: MACD — CAGR 10.3%, MDD -82.1%, exposure 49%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 10.2%, MDD -66.9%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=25, slow=100 |
10.2% | -66.9% | 0.46 | 0.15 | 19.0x | 83 | 55% |
| Donchian 채널 돌파 entryN=95, exitN=32 |
8.3% | -71.1% | 0.42 | 0.12 | 11.0x | 59 | 36% |
| ROC 모멘텀 n=141, threshold=0 |
8.4% | -91.0% | 0.40 | 0.09 | 11.6x | 233 | 56% |
| EMA 크로스오버 fast=44, slow=55 |
8.0% | -79.0% | 0.39 | 0.10 | 10.1x | 89 | 56% |
| Supertrend period=11, mult=3.6 |
7.4% | -82.8% | 0.37 | 0.09 | 8.7x | 131 | 53% |
| Parabolic SAR step=0.005, maxStep=0.06 |
6.5% | -71.3% | 0.35 | 0.09 | 6.8x | 193 | 46% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
6.3% | -67.8% | 0.35 | 0.09 | 6.4x | 195 | 34% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=2.4 |
5.5% | -69.7% | 0.33 | 0.08 | 5.0x | 129 | 30% |
| MACD fast=18, slow=39, signal=15 |
10.3% | -82.1% | 0.31 | 0.13 | 19.2x | 358 | 49% |
| ADX / DI 방향성 period=38, threshold=15 |
3.5% | -82.0% | 0.26 | 0.04 | 2.8x | 153 | 26% |
| Buy and hold | 6.1% | -99.5% | 0.31 | 0.06 | 6.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 25-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 25-day average falls below the 100-day average