Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marten Transport, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Marten Transport, Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -86.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -72.3%, Sharpe 0.37, 60% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=25, slow=260 |
7.2% | -72.3% | 0.37 | 0.10 | 16.1x | 51 | 60% |
| EMA 크로스오버 fast=49, slow=214 |
6.3% | -71.7% | 0.35 | 0.09 | 11.5x | 43 | 60% |
| Donchian 채널 돌파 entryN=116, exitN=78 |
4.6% | -51.5% | 0.30 | 0.09 | 6.0x | 47 | 52% |
| ADX / DI 방향성 period=32, threshold=38 |
1.1% | -21.4% | 0.23 | 0.05 | 1.6x | 4 | 2% |
| 볼린저 밴드 돌파 n=64, k=3.5 |
0.1% | -46.3% | 0.08 | 0.00 | 1.0x | 34 | 9% |
| ROC 모멘텀 n=119, threshold=-0.09 |
-5.6% | -93.0% | 0.05 | -0.06 | 0.1x | 355 | 74% |
| MACD fast=71, slow=113, signal=38 |
-4.1% | -86.2% | 0.05 | -0.05 | 0.2x | 184 | 50% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-7.0% | -98.3% | -0.05 | -0.07 | 0.1x | 322 | 51% |
| Supertrend period=20, mult=5 |
-9.5% | -99.0% | -0.11 | -0.10 | 0.0x | 166 | 58% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=25, mult=4 |
-2.8% | -79.8% | -0.11 | -0.04 | 0.3x | 74 | 8% |
| Buy and hold | 8.0% | -86.3% | 0.40 | 0.09 | 21.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 25-day average price crosses above the 260-day average
- Sell — Sell (to cash) when the 25-day average falls below the 260-day average