Trend-Following Backtester · Guide · backtest 한국어
equity · US
MGP Ingredients, Inc. backtest
10 trend-following strategies were compared on the full daily history of MGP Ingredients, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.4%, MDD -51.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.4%, drawdown -98.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.1%, MDD -70.7%, Sharpe 0.64, 53% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.1%, MDD -68.9%, exposure 52%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 15.4%, MDD -51.8%, exposure 38%).
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=57, slow=158 |
17.1% | -70.7% | 0.64 | 0.24 | 387.3x | 36 | 53% |
| SMA 크로스오버 fast=20, slow=184 |
17.1% | -68.9% | 0.64 | 0.25 | 388.7x | 54 | 52% |
| Donchian 채널 돌파 entryN=99, exitN=45 |
15.4% | -51.8% | 0.61 | 0.30 | 224.3x | 56 | 38% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=3.9 |
9.6% | -53.7% | 0.47 | 0.18 | 32.4x | 74 | 24% |
| ROC 모멘텀 n=137, threshold=0.04 |
10.4% | -90.8% | 0.47 | 0.12 | 42.6x | 308 | 50% |
| Supertrend period=9, mult=4.6 |
10.8% | -86.0% | 0.46 | 0.13 | 48.2x | 117 | 54% |
| ADX / DI 방향성 period=28, threshold=25 |
7.5% | -59.2% | 0.42 | 0.13 | 15.5x | 84 | 16% |
| 볼린저 밴드 돌파 n=56, k=3.3 |
7.1% | -58.4% | 0.40 | 0.12 | 13.4x | 48 | 15% |
| MACD fast=37, slow=68, signal=39 |
2.6% | -85.4% | 0.26 | 0.03 | 2.7x | 215 | 53% |
| Parabolic SAR step=0.01, maxStep=0.14 |
2.8% | -88.0% | 0.25 | 0.03 | 2.8x | 431 | 51% |
| Buy and hold | 3.4% | -98.5% | 0.32 | 0.03 | 3.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 158-day EMA
- Sell — Sell when the 57-day EMA falls below the 158-day EMA