Trend-Following Backtester · Guide · backtest 한국어
equity · US
Matthews International Corporation backtest
10 trend-following strategies were compared on the full daily history of Matthews International Corporation. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.0%, MDD -48.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.6%, drawdown -76.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -16.1%, Sharpe 0.37, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.1%, MDD -52.0%, exposure 62%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 60.6%p (CAGR 6.0%, MDD -48.9%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=39 |
3.2% | -16.1% | 0.37 | 0.20 | 2.8x | 2 | 9% |
| Donchian 채널 돌파 entryN=78, exitN=80 |
6.1% | -52.0% | 0.37 | 0.12 | 6.8x | 38 | 62% |
| EMA 크로스오버 fast=48, slow=196 |
6.0% | -48.9% | 0.36 | 0.12 | 6.5x | 40 | 63% |
| SMA 크로스오버 fast=45, slow=190 |
5.5% | -53.5% | 0.34 | 0.10 | 5.6x | 44 | 61% |
| Supertrend period=28, mult=4.9 |
3.8% | -57.6% | 0.28 | 0.07 | 3.4x | 66 | 60% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
1.4% | -20.6% | 0.21 | 0.07 | 1.6x | 16 | 5% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=4 |
0.9% | -37.2% | 0.15 | 0.03 | 1.4x | 32 | 8% |
| ROC 모멘텀 n=113, threshold=-0.09 |
0.3% | -79.5% | 0.15 | 0.00 | 1.1x | 226 | 78% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-6.1% | -94.2% | -0.14 | -0.06 | 0.1x | 286 | 54% |
| MACD fast=18, slow=54, signal=19 |
-7.0% | -93.6% | -0.19 | -0.08 | 0.1x | 390 | 49% |
| Buy and hold | 5.6% | -76.8% | 0.33 | 0.07 | 5.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)