Trend-Following Backtester · Guide · backtest 한국어
equity · JP
M3, Inc. backtest
10 trend-following strategies were compared on the full daily history of M3, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.9%, MDD -50.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.4%, drawdown -89.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.9%, MDD -50.2%, Sharpe 0.69, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 17.9%, MDD -50.2%, exposure 57%).
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=55, slow=255 |
17.9% | -50.2% | 0.69 | 0.36 | 36.4x | 22 | 57% |
| EMA 크로스오버 fast=59, slow=106 |
16.6% | -64.3% | 0.64 | 0.26 | 28.7x | 31 | 60% |
| Donchian 채널 돌파 entryN=119, exitN=87 |
15.5% | -74.2% | 0.61 | 0.21 | 23.3x | 20 | 59% |
| 볼린저 밴드 돌파 n=57, k=2.5 |
11.2% | -42.8% | 0.57 | 0.26 | 10.2x | 54 | 32% |
| ROC 모멘텀 n=133, threshold=0.02 |
12.7% | -73.4% | 0.54 | 0.17 | 13.6x | 166 | 57% |
| Supertrend period=19, mult=5 |
12.7% | -70.5% | 0.54 | 0.18 | 13.6x | 69 | 54% |
| ADX / DI 방향성 period=35, threshold=21 |
7.2% | -34.6% | 0.48 | 0.21 | 4.6x | 32 | 15% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=2.5 |
8.1% | -68.2% | 0.43 | 0.12 | 5.5x | 95 | 38% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.4% | -83.4% | 0.33 | 0.07 | 3.2x | 169 | 51% |
| MACD fast=14, slow=35, signal=18 |
5.1% | -79.3% | 0.32 | 0.06 | 3.0x | 266 | 52% |
| Buy and hold | 14.4% | -89.1% | 0.53 | 0.16 | 19.0x | 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 55-day average price crosses above the 255-day average
- Sell — Sell (to cash) when the 55-day average falls below the 255-day average