Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mistras Group Inc backtest
10 trend-following strategies were compared on the full daily history of Mistras Group Inc. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.4%, MDD -41.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.1%, drawdown -89.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -55.9%, Sharpe 0.53, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 5.4%, MDD -41.1%, exposure 13%).
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=52, slow=153 |
12.0% | -55.9% | 0.53 | 0.21 | 6.8x | 29 | 49% |
| ADX / DI 방향성 period=22, threshold=24 |
8.9% | -41.4% | 0.52 | 0.21 | 4.2x | 53 | 17% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=30, mult=3.1 |
7.3% | -68.3% | 0.42 | 0.11 | 3.3x | 45 | 30% |
| 볼린저 밴드 돌파 n=34, k=3.4 |
5.4% | -41.1% | 0.42 | 0.13 | 2.5x | 26 | 13% |
| Donchian 채널 돌파 entryN=101, exitN=22 |
5.6% | -68.3% | 0.35 | 0.08 | 2.5x | 37 | 26% |
| EMA 크로스오버 fast=31, slow=116 |
6.1% | -72.3% | 0.35 | 0.08 | 2.7x | 39 | 49% |
| Supertrend period=6, mult=3.6 |
5.6% | -76.1% | 0.33 | 0.07 | 2.5x | 85 | 50% |
| ROC 모멘텀 n=122, threshold=0.06 |
4.9% | -67.2% | 0.31 | 0.07 | 2.3x | 147 | 39% |
| MACD fast=12, slow=31, signal=15 |
4.2% | -71.9% | 0.29 | 0.06 | 2.0x | 255 | 51% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-3.2% | -82.2% | 0.06 | -0.04 | 0.6x | 307 | 50% |
| Buy and hold | 3.1% | -89.2% | 0.30 | 0.03 | 1.7x | 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 52-day average price crosses above the 153-day average
- Sell — Sell (to cash) when the 52-day average falls below the 153-day average