Trend-Following Backtester · Guide · backtest 한국어
equity · US
MarineMax, Inc. (FL) backtest
10 trend-following strategies were compared on the full daily history of MarineMax, Inc. (FL). 3 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -47.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.6%, drawdown -96.7%).
Sharpe leader (same as main): MACD — CAGR 6.5%, MDD -77.1%, Sharpe 0.36, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 4.9%, MDD -47.2%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=26, signal=14 |
6.5% | -77.1% | 0.36 | 0.08 | 5.9x | 416 | 50% |
| ADX / DI 방향성 period=57, threshold=15 |
4.9% | -47.2% | 0.35 | 0.10 | 3.8x | 46 | 15% |
| 볼린저 밴드 돌파 n=39, k=2.8 |
4.5% | -51.0% | 0.30 | 0.09 | 3.5x | 72 | 18% |
| Supertrend period=14, mult=4.9 |
1.4% | -79.4% | 0.23 | 0.02 | 1.5x | 97 | 52% |
| Donchian 채널 돌파 entryN=31, exitN=56 |
-0.0% | -89.5% | 0.22 | -0.00 | 1.0x | 83 | 65% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.6% | -84.8% | 0.22 | 0.01 | 1.2x | 234 | 49% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=12, mult=3.7 |
1.9% | -53.5% | 0.20 | 0.04 | 1.7x | 52 | 11% |
| SMA 크로스오버 fast=45, slow=213 |
0.4% | -75.5% | 0.19 | 0.00 | 1.1x | 53 | 52% |
| ROC 모멘텀 n=111, threshold=-0.01 |
-1.1% | -82.3% | 0.16 | -0.01 | 0.7x | 301 | 52% |
| EMA 크로스오버 fast=16, slow=93 |
-2.0% | -93.8% | 0.13 | -0.02 | 0.6x | 107 | 51% |
| Buy and hold | 3.6% | -96.7% | 0.35 | 0.04 | 2.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/26) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line