Trend-Following Backtester · Guide · backtest 한국어
equity · US
Magnera Corporation backtest
10 trend-following strategies were compared on the full daily history of Magnera Corporation. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -17.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.5%, drawdown -98.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -17.5%, Sharpe 0.27, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.0%, MDD -46.7%, exposure 8%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 80.6%p (CAGR 0.8%, MDD -17.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=78, threshold=28 |
0.8% | -17.5% | 0.27 | 0.05 | 1.5x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=3 |
1.0% | -46.7% | 0.16 | 0.02 | 1.6x | 108 | 8% |
| EMA 크로스오버 fast=32, slow=212 |
0.2% | -89.0% | 0.12 | 0.00 | 1.1x | 77 | 51% |
| SMA 크로스오버 fast=67, slow=202 |
-0.3% | -89.9% | 0.10 | -0.00 | 0.9x | 66 | 53% |
| Supertrend period=12, mult=4.8 |
-1.1% | -93.9% | 0.07 | -0.01 | 0.6x | 175 | 50% |
| Donchian 채널 돌파 entryN=9, exitN=59 |
-3.2% | -98.8% | 0.07 | -0.03 | 0.2x | 199 | 82% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.8% | -96.1% | 0.05 | -0.02 | 0.4x | 373 | 51% |
| MACD fast=14, slow=29, signal=12 |
-5.1% | -99.1% | -0.05 | -0.05 | 0.1x | 694 | 52% |
| 볼린저 밴드 돌파 n=26, k=1.8 |
-2.9% | -94.0% | -0.05 | -0.03 | 0.3x | 379 | 33% |
| ROC 모멘텀 n=77, threshold=0 |
-4.6% | -98.6% | -0.08 | -0.05 | 0.1x | 505 | 53% |
| Buy and hold | -1.5% | -98.1% | 0.16 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 78-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)