Trend-Following Backtester · Guide · backtest 한국어
equity · US
Martin Marietta Materials, Inc. backtest
10 trend-following strategies were compared on the full daily history of Martin Marietta Materials, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -64.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -49.6%, Sharpe 0.44, 60% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=110 |
7.4% | -49.6% | 0.44 | 0.15 | 10.1x | 72 | 60% |
| EMA 크로스오버 fast=49, slow=123 |
6.9% | -52.4% | 0.43 | 0.13 | 8.8x | 60 | 60% |
| MACD fast=21, slow=55, signal=22 |
6.9% | -52.4% | 0.41 | 0.13 | 8.7x | 266 | 50% |
| Keltner 채널 돌파 emaPeriod=96, atrPeriod=18, mult=2.6 |
4.9% | -45.0% | 0.36 | 0.11 | 4.7x | 106 | 45% |
| Donchian 채널 돌파 entryN=100, exitN=57 |
4.4% | -56.4% | 0.32 | 0.08 | 4.0x | 58 | 50% |
| Supertrend period=23, mult=4 |
3.9% | -66.9% | 0.28 | 0.06 | 3.5x | 150 | 57% |
| 볼린저 밴드 돌파 n=76, k=1.2 |
3.5% | -60.2% | 0.28 | 0.06 | 3.1x | 146 | 47% |
| Parabolic SAR step=0.005, maxStep=0.06 |
3.7% | -50.1% | 0.27 | 0.07 | 3.2x | 262 | 55% |
| ROC 모멘텀 n=104, threshold=0 |
1.9% | -78.2% | 0.20 | 0.02 | 1.9x | 306 | 60% |
| ADX / DI 방향성 period=21, threshold=32 |
0.9% | -23.2% | 0.17 | 0.04 | 1.3x | 44 | 6% |
| Buy and hold | 9.9% | -64.3% | 0.45 | 0.15 | 21.2x | 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 55-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 55-day average falls below the 110-day average