Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mercury Systems Inc backtest
10 trend-following strategies were compared on the full daily history of Mercury Systems Inc. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -96.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.0%, MDD -92.8%, Sharpe 0.39, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=51, slow=162 |
8.0% | -92.8% | 0.39 | 0.09 | 9.1x | 37 | 57% |
| SMA 크로스오버 fast=54, slow=156 |
6.3% | -93.8% | 0.36 | 0.07 | 5.8x | 45 | 55% |
| Donchian 채널 돌파 entryN=5, exitN=67 |
4.1% | -96.7% | 0.33 | 0.04 | 3.2x | 112 | 89% |
| Supertrend period=8, mult=4.3 |
3.2% | -83.7% | 0.27 | 0.04 | 2.5x | 112 | 53% |
| MACD fast=19, slow=47, signal=17 |
1.4% | -90.3% | 0.22 | 0.02 | 1.5x | 314 | 51% |
| ROC 모멘텀 n=101, threshold=-0.01 |
0.7% | -95.3% | 0.22 | 0.01 | 1.2x | 249 | 57% |
| Parabolic SAR step=0.02, maxStep=0.28 |
0.3% | -87.8% | 0.19 | 0.00 | 1.1x | 590 | 51% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=16, mult=3.8 |
1.6% | -74.3% | 0.19 | 0.02 | 1.6x | 66 | 26% |
| 볼린저 밴드 돌파 n=32, k=3.4 |
1.2% | -43.4% | 0.16 | 0.03 | 1.4x | 36 | 8% |
| ADX / DI 방향성 period=35, threshold=32 |
0.3% | -11.0% | 0.09 | 0.03 | 1.1x | 6 | 0% |
| Buy and hold | 10.3% | -96.2% | 0.45 | 0.11 | 16.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 162-day EMA
- Sell — Sell when the 51-day EMA falls below the 162-day EMA