Trend-Following Backtester · Guide · backtest 한국어
equity · US
MaxLinear, Inc backtest
10 trend-following strategies were compared on the full daily history of MaxLinear, Inc. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -14.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.3%, drawdown -88.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.8%, MDD -67.6%, Sharpe 0.52, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 8.0%, MDD -14.5%, exposure 2%).
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=60, slow=166 |
14.8% | -67.6% | 0.52 | 0.22 | 9.7x | 15 | 49% |
| ROC 모멘텀 n=221, threshold=-0.05 |
13.6% | -70.4% | 0.49 | 0.19 | 8.1x | 69 | 53% |
| Parabolic SAR step=0.005, maxStep=0.3 |
11.6% | -81.0% | 0.46 | 0.14 | 6.1x | 122 | 50% |
| SMA 크로스오버 fast=15, slow=217 |
10.3% | -83.3% | 0.43 | 0.12 | 5.0x | 31 | 49% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=25, mult=4 |
8.0% | -14.5% | 0.42 | 0.55 | 3.5x | 8 | 2% |
| Supertrend period=20, mult=2.4 |
8.9% | -61.6% | 0.40 | 0.14 | 4.1x | 152 | 54% |
| 볼린저 밴드 돌파 n=30, k=3 |
7.8% | -47.8% | 0.38 | 0.16 | 3.4x | 42 | 15% |
| Donchian 채널 돌파 entryN=68, exitN=56 |
7.5% | -83.8% | 0.38 | 0.09 | 3.3x | 32 | 52% |
| MACD fast=14, slow=37, signal=9 |
7.1% | -79.3% | 0.37 | 0.09 | 3.1x | 262 | 52% |
| ADX / DI 방향성 period=19, threshold=36 |
3.0% | -29.6% | 0.29 | 0.10 | 1.6x | 18 | 3% |
| Buy and hold | 7.3% | -88.1% | 0.42 | 0.08 | 3.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 60-day EMA crosses above the 166-day EMA
- Sell — Sell when the 60-day EMA falls below the 166-day EMA