Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mattel, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mattel, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -84.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.9%, MDD -78.3%, Sharpe 0.24, 55% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.9%, MDD -62.1%, exposure 29%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=44, slow=203 |
2.9% | -78.3% | 0.24 | 0.04 | 4.1x | 68 | 55% |
| 볼린저 밴드 돌파 n=70, k=2.5 |
2.9% | -62.1% | 0.24 | 0.05 | 4.2x | 116 | 29% |
| SMA 크로스오버 fast=45, slow=166 |
2.4% | -72.3% | 0.23 | 0.03 | 3.2x | 86 | 55% |
| Supertrend period=15, mult=4.8 |
1.7% | -73.5% | 0.21 | 0.02 | 2.4x | 159 | 59% |
| Donchian 채널 돌파 entryN=95, exitN=48 |
1.8% | -72.5% | 0.20 | 0.03 | 2.5x | 94 | 42% |
| ADX / DI 방향성 period=23, threshold=24 |
0.6% | -59.9% | 0.11 | 0.01 | 1.3x | 124 | 12% |
| ROC 모멘텀 n=125, threshold=-0.04 |
-1.8% | -85.3% | 0.09 | -0.02 | 0.4x | 496 | 63% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=22, mult=3.1 |
-0.4% | -81.3% | 0.09 | -0.01 | 0.8x | 162 | 34% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.0% | -96.1% | -0.05 | -0.05 | 0.1x | 427 | 52% |
| MACD fast=17, slow=23, signal=19 |
-5.3% | -98.2% | -0.05 | -0.05 | 0.1x | 715 | 51% |
| Buy and hold | 4.0% | -84.9% | 0.30 | 0.05 | 7.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 203-day EMA
- Sell — Sell when the 44-day EMA falls below the 203-day EMA