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; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.7%, MDD -45.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.5%, drawdown -76.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.7%, MDD -45.0%, Sharpe 0.39, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 31.8%p (CAGR 6.7%, MDD -45.0%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=196 |
6.7% | -45.0% | 0.39 | 0.15 | 8.1x | 39 | 63% |
| Donchian 채널 돌파 entryN=78, exitN=80 |
6.7% | -52.0% | 0.39 | 0.13 | 8.0x | 37 | 62% |
| ADX / DI 방향성 period=38, threshold=39 |
3.2% | -16.1% | 0.37 | 0.20 | 2.8x | 2 | 9% |
| SMA 크로스오버 fast=45, slow=190 |
6.3% | -53.5% | 0.37 | 0.12 | 7.1x | 43 | 61% |
| Supertrend period=28, mult=4.9 |
4.4% | -57.6% | 0.30 | 0.08 | 3.9x | 65 | 60% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
1.4% | -20.6% | 0.21 | 0.07 | 1.6x | 16 | 5% |
| ROC 모멘텀 n=113, threshold=-0.09 |
0.8% | -79.5% | 0.17 | 0.01 | 1.3x | 225 | 78% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=4 |
0.9% | -37.2% | 0.15 | 0.03 | 1.4x | 32 | 8% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-5.6% | -93.5% | -0.12 | -0.06 | 0.2x | 285 | 54% |
| MACD fast=18, slow=54, signal=19 |
-6.6% | -93.6% | -0.17 | -0.07 | 0.1x | 389 | 49% |
| Buy and hold | 6.5% | -76.8% | 0.36 | 0.09 | 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 48-day EMA crosses above the 196-day EMA
- Sell — Sell when the 48-day EMA falls below the 196-day EMA