Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mama's Creations, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mama's Creations, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 65.8%, MDD -31.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 49.7%, drawdown -64.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 64.9%, MDD -31.2%, Sharpe 1.33, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 65.8%, MDD -31.2%, exposure 65%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 65.8%, MDD -31.2%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=7, slow=124 |
64.9% | -31.2% | 1.33 | 2.08 | 12.4x | 5 | 64% |
| Donchian 채널 돌파 entryN=55, exitN=87 |
65.3% | -32.1% | 1.32 | 2.03 | 12.6x | 3 | 65% |
| ROC 모멘텀 n=116, threshold=-0.05 |
65.8% | -31.2% | 1.32 | 2.11 | 12.8x | 17 | 65% |
| SMA 크로스오버 fast=34, slow=149 |
57.9% | -31.8% | 1.25 | 1.82 | 10.0x | 3 | 63% |
| Supertrend period=22, mult=4.2 |
43.6% | -31.6% | 1.04 | 1.38 | 6.2x | 9 | 59% |
| MACD fast=6, slow=24, signal=9 |
36.9% | -45.1% | 0.98 | 0.82 | 4.9x | 109 | 46% |
| Keltner 채널 돌파 emaPeriod=90, atrPeriod=14, mult=1.3 |
33.2% | -31.8% | 0.89 | 1.04 | 4.2x | 21 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.2 |
31.4% | -34.9% | 0.88 | 0.90 | 3.9x | 31 | 46% |
| Parabolic SAR step=0.02, maxStep=0.14 |
20.8% | -52.7% | 0.66 | 0.39 | 2.6x | 103 | 51% |
| ADX / DI 방향성 period=31, threshold=7 |
19.6% | -43.2% | 0.62 | 0.45 | 2.5x | 77 | 60% |
| Buy and hold | 49.7% | -64.8% | 0.99 | 0.77 | 7.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 124-day EMA
- Sell — Sell when the 7-day EMA falls below the 124-day EMA