Trend-Following Backtester · Guide · backtest 한국어
equity · IN
MTAR Technologies Ltd. backtest
10 trend-following strategies were compared on the full daily history of MTAR Technologies Ltd.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 47.6%, MDD -23.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 36.2%, drawdown -56.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 47.6%, MDD -23.8%, Sharpe 1.36, 40% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 48.2%, MDD -33.2%, exposure 53%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 47.6%, MDD -23.8%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=34, threshold=0.06 |
47.6% | -23.8% | 1.36 | 2.00 | 8.1x | 66 | 40% |
| SMA 크로스오버 fast=18, slow=51 |
48.2% | -33.2% | 1.30 | 1.45 | 8.3x | 24 | 53% |
| ADX / DI 방향성 period=38, threshold=16 |
40.2% | -26.2% | 1.19 | 1.54 | 6.2x | 22 | 46% |
| EMA 크로스오버 fast=8, slow=56 |
42.5% | -48.2% | 1.17 | 0.88 | 6.7x | 24 | 56% |
| Supertrend period=22, mult=4.4 |
39.7% | -42.8% | 1.16 | 0.93 | 6.0x | 18 | 51% |
| 볼린저 밴드 돌파 n=45, k=2 |
34.4% | -25.6% | 1.13 | 1.34 | 4.9x | 20 | 34% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=2.6 |
35.7% | -29.4% | 1.11 | 1.22 | 5.2x | 18 | 40% |
| Donchian 채널 돌파 entryN=22, exitN=45 |
40.0% | -39.9% | 1.10 | 1.00 | 6.1x | 14 | 63% |
| MACD fast=18, slow=30, signal=15 |
27.2% | -60.6% | 0.91 | 0.45 | 3.6x | 60 | 49% |
| Parabolic SAR step=0.045, maxStep=0.36 |
18.3% | -49.4% | 0.70 | 0.37 | 2.5x | 174 | 51% |
| Buy and hold | 36.2% | -56.3% | 0.92 | 0.64 | 5.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 34-day return is greater than 6%
- Sell — Sell when the 34-day return drops to 6% or below