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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.1%, MDD -40.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.1%, drawdown -89.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.7%, MDD -69.3%, Sharpe 0.40, 29% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 5.1%, MDD -40.9%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=25, mult=3.2 |
6.7% | -69.3% | 0.40 | 0.10 | 3.0x | 44 | 29% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
5.1% | -40.9% | 0.38 | 0.13 | 2.3x | 28 | 15% |
| SMA 크로스오버 fast=11, slow=174 |
6.6% | -64.7% | 0.36 | 0.10 | 2.9x | 45 | 48% |
| ADX / DI 방향성 period=35, threshold=16 |
4.7% | -53.0% | 0.32 | 0.09 | 2.2x | 72 | 23% |
| Donchian 채널 돌파 entryN=103, exitN=32 |
4.1% | -60.3% | 0.29 | 0.07 | 2.0x | 32 | 32% |
| EMA 크로스오버 fast=25, slow=194 |
3.9% | -65.8% | 0.28 | 0.06 | 1.9x | 33 | 48% |
| MACD fast=18, slow=28, signal=11 |
2.6% | -72.1% | 0.24 | 0.04 | 1.5x | 256 | 50% |
| ROC 모멘텀 n=128, threshold=0 |
2.2% | -78.4% | 0.22 | 0.03 | 1.4x | 127 | 48% |
| Supertrend period=16, mult=3.1 |
2.0% | -70.6% | 0.22 | 0.03 | 1.4x | 98 | 49% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-4.5% | -82.2% | 0.01 | -0.05 | 0.5x | 304 | 49% |
| Buy and hold | 1.1% | -89.2% | 0.26 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 63-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 63-day average