Trend-Following Backtester · Guide · backtest 한국어
equity · US
MFA Financial, Inc. backtest
10 trend-following strategies were compared on the full daily history of MFA Financial, Inc.. 7 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 0.6%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.8%, drawdown -96.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -0.5%, Sharpe 0.18, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 96.2%p (CAGR 0.6%, MDD -0.5%, exposure 0%).
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=35, threshold=31 |
0.6% | -0.5% | 0.18 | 1.24 | 1.2x | 2 | 0% |
| Donchian 채널 돌파 entryN=98, exitN=72 |
0.3% | -43.3% | 0.11 | 0.01 | 1.1x | 34 | 45% |
| SMA 크로스오버 fast=40, slow=136 |
-0.3% | -51.0% | 0.09 | -0.01 | 0.9x | 60 | 53% |
| EMA 크로스오버 fast=45, slow=202 |
-0.6% | -57.1% | 0.06 | -0.01 | 0.8x | 36 | 49% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
-0.1% | -32.7% | 0.03 | -0.00 | 1.0x | 12 | 2% |
| Supertrend period=11, mult=4.2 |
-1.9% | -59.7% | 0.01 | -0.03 | 0.6x | 94 | 51% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=14, mult=2.8 |
-0.8% | -32.7% | -0.11 | -0.02 | 0.8x | 2 | 0% |
| ROC 모멘텀 n=148, threshold=0 |
-5.7% | -83.4% | -0.23 | -0.07 | 0.2x | 286 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-9.7% | -94.8% | -0.29 | -0.10 | 0.1x | 482 | 52% |
| MACD fast=18, slow=43, signal=18 |
-12.9% | -98.4% | -0.47 | -0.13 | 0.0x | 390 | 50% |
| Buy and hold | -4.8% | -96.7% | 0.16 | -0.05 | 0.2x | 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, 35-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)