Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Mersen SA backtest
10 trend-following strategies were compared on the full daily history of Mersen SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -16.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -80.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -47.4%, Sharpe 0.40, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 33.1%p (CAGR 0.3%, MDD -16.2%, exposure 4%).
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=33, slow=154 |
7.0% | -47.4% | 0.40 | 0.15 | 6.0x | 51 | 54% |
| ROC 모멘텀 n=147, threshold=0.05 |
5.7% | -53.9% | 0.36 | 0.11 | 4.4x | 147 | 47% |
| EMA 크로스오버 fast=59, slow=97 |
4.9% | -47.4% | 0.32 | 0.10 | 3.6x | 47 | 53% |
| Supertrend period=22, mult=4.1 |
4.8% | -42.0% | 0.31 | 0.11 | 3.5x | 114 | 54% |
| Donchian 채널 돌파 entryN=110, exitN=67 |
3.8% | -53.4% | 0.28 | 0.07 | 2.7x | 35 | 43% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.2% | -61.7% | 0.17 | 0.02 | 1.4x | 220 | 53% |
| 볼린저 밴드 돌파 n=59, k=2 |
0.1% | -52.5% | 0.10 | 0.00 | 1.0x | 98 | 34% |
| ADX / DI 방향성 period=17, threshold=36 |
0.3% | -16.2% | 0.09 | 0.02 | 1.1x | 36 | 4% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=2 |
-1.2% | -66.0% | 0.03 | -0.02 | 0.7x | 190 | 32% |
| MACD fast=17, slow=28, signal=15 |
-3.7% | -89.3% | -0.03 | -0.04 | 0.4x | 364 | 50% |
| Buy and hold | -0.4% | -80.5% | 0.17 | -0.00 | 0.9x | 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 33-day average price crosses above the 154-day average
- Sell — Sell (to cash) when the 33-day average falls below the 154-day average