Trend-Following Backtester · Guide · backtest 한국어
equity · US
Matrix Service Company backtest
10 trend-following strategies were compared on the full daily history of Matrix Service Company. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.5%, MDD -23.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.0%, drawdown -90.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -67.2%, Sharpe 0.30, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 2.5%, MDD -23.5%, exposure 3%).
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=46, slow=93 |
4.2% | -67.2% | 0.30 | 0.06 | 4.4x | 103 | 51% |
| ADX / DI 방향성 period=28, threshold=37 |
2.5% | -23.5% | 0.30 | 0.11 | 2.4x | 16 | 3% |
| EMA 크로스오버 fast=34, slow=46 |
2.6% | -90.0% | 0.26 | 0.03 | 2.5x | 122 | 51% |
| 볼린저 밴드 돌파 n=74, k=2 |
3.1% | -76.2% | 0.25 | 0.04 | 3.0x | 114 | 34% |
| Supertrend period=28, mult=4.6 |
2.3% | -88.9% | 0.24 | 0.03 | 2.3x | 112 | 48% |
| Donchian 채널 돌파 entryN=65, exitN=33 |
2.3% | -86.3% | 0.24 | 0.03 | 2.3x | 94 | 42% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=2.6 |
2.2% | -85.8% | 0.22 | 0.03 | 2.2x | 132 | 28% |
| ROC 모멘텀 n=71, threshold=0.12 |
-0.6% | -89.3% | 0.14 | -0.01 | 0.8x | 408 | 36% |
| MACD fast=15, slow=58, signal=15 |
-4.4% | -95.7% | 0.09 | -0.05 | 0.2x | 462 | 51% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-6.9% | -97.6% | 0.01 | -0.07 | 0.1x | 710 | 51% |
| Buy and hold | 3.0% | -90.7% | 0.35 | 0.03 | 2.8x | 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 46-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 46-day average falls below the 93-day average