Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mueller Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mueller Industries, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -63.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.3%, MDD -70.7%, Sharpe 0.53, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.11 |
13.3% | -70.7% | 0.53 | 0.19 | 83.7x | 89 | 99% |
| Donchian 채널 돌파 entryN=16, exitN=79 |
11.5% | -74.5% | 0.50 | 0.15 | 47.1x | 87 | 87% |
| SMA 크로스오버 fast=20, slow=271 |
8.9% | -76.1% | 0.45 | 0.12 | 21.0x | 61 | 68% |
| EMA 크로스오버 fast=53, slow=214 |
7.7% | -84.6% | 0.41 | 0.09 | 14.0x | 51 | 70% |
| Supertrend period=22, mult=4.8 |
6.1% | -70.6% | 0.37 | 0.09 | 8.1x | 133 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=2.4 |
5.3% | -64.4% | 0.36 | 0.08 | 6.2x | 174 | 42% |
| 볼린저 밴드 돌파 n=52, k=0.7 |
5.4% | -73.5% | 0.34 | 0.07 | 6.4x | 288 | 53% |
| MACD fast=19, slow=28, signal=16 |
3.3% | -73.7% | 0.25 | 0.04 | 3.1x | 470 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.5% | -75.4% | 0.22 | 0.03 | 2.4x | 628 | 54% |
| ADX / DI 방향성 period=38, threshold=13 |
0.7% | -85.0% | 0.13 | 0.01 | 1.3x | 228 | 35% |
| Buy and hold | 15.7% | -63.8% | 0.58 | 0.25 | 176.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -11%
- Sell — Sell when the 3-day return drops to -11% or below