Trend-Following Backtester · Guide · backtest 한국어
equity · US
MasterCraft Boat Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of MasterCraft Boat Holdings, Inc.. 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.8%, MDD -50.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.7%, drawdown -86.4%).
Sharpe leader (same as main): MACD — CAGR 8.5%, MDD -65.1%, Sharpe 0.41, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 3.8%, MDD -50.5%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=21, signal=19 |
8.5% | -65.1% | 0.41 | 0.13 | 2.5x | 160 | 51% |
| Donchian 채널 돌파 entryN=8, exitN=100 |
3.9% | -74.1% | 0.31 | 0.05 | 1.5x | 27 | 89% |
| EMA 크로스오버 fast=53, slow=193 |
3.8% | -50.5% | 0.28 | 0.08 | 1.5x | 11 | 49% |
| SMA 크로스오버 fast=12, slow=21 |
2.4% | -73.3% | 0.25 | 0.03 | 1.3x | 147 | 52% |
| Supertrend period=18, mult=3 |
0.1% | -65.2% | 0.18 | 0.00 | 1.0x | 69 | 52% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=3.5 |
1.4% | -38.6% | 0.17 | 0.04 | 1.2x | 22 | 19% |
| 볼린저 밴드 돌파 n=29, k=2 |
-0.8% | -56.7% | 0.11 | -0.01 | 0.9x | 82 | 32% |
| ROC 모멘텀 n=17, threshold=-0.04 |
-4.1% | -83.1% | 0.09 | -0.05 | 0.6x | 279 | 69% |
| ADX / DI 방향성 period=13, threshold=22 |
-1.2% | -57.4% | 0.09 | -0.02 | 0.9x | 110 | 29% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-5.0% | -68.2% | 0.02 | -0.07 | 0.6x | 150 | 51% |
| Buy and hold | 3.7% | -86.4% | 0.33 | 0.04 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/21) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line