Trend-Following Backtester · Guide · backtest 한국어
equity · US
Malibu Boats, Inc. backtest
10 trend-following strategies were compared on the full daily history of Malibu Boats, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -33.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.5%, drawdown -73.9%).
Sharpe leader (same as main): Supertrend — CAGR 3.5%, MDD -78.9%, Sharpe 0.27, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by -5.0%p (CAGR 2.7%, MDD -33.1%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=2.4 |
3.5% | -78.9% | 0.27 | 0.04 | 1.5x | 103 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=3.5 |
2.7% | -33.1% | 0.26 | 0.08 | 1.4x | 22 | 14% |
| ROC 모멘텀 n=11, threshold=0.2 |
1.5% | -20.4% | 0.21 | 0.07 | 1.2x | 42 | 2% |
| ADX / DI 방향성 period=33, threshold=16 |
1.6% | -54.1% | 0.18 | 0.03 | 1.2x | 52 | 21% |
| Donchian 채널 돌파 entryN=26, exitN=42 |
-0.0% | -85.0% | 0.17 | -0.00 | 1.0x | 43 | 63% |
| EMA 크로스오버 fast=58, slow=218 |
-0.4% | -67.4% | 0.12 | -0.01 | 0.9x | 16 | 40% |
| SMA 크로스오버 fast=55, slow=204 |
-1.5% | -73.5% | 0.09 | -0.02 | 0.8x | 20 | 43% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.8% | -73.6% | 0.06 | -0.04 | 0.7x | 106 | 52% |
| MACD fast=15, slow=47, signal=19 |
-3.2% | -72.8% | 0.05 | -0.04 | 0.7x | 143 | 51% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
-1.8% | -41.8% | -0.12 | -0.04 | 0.8x | 18 | 12% |
| Buy and hold | 3.5% | -73.9% | 0.31 | 0.05 | 1.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)