Trend-Following Backtester · Guide · backtest 한국어
equity · US
Miller Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Miller Industries, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 4.4%, drawdown -98.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.1%, MDD -82.7%, Sharpe 0.45, 56% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=207 |
9.1% | -82.7% | 0.45 | 0.11 | 16.0x | 45 | 56% |
| Donchian 채널 돌파 entryN=16, exitN=44 |
7.0% | -83.8% | 0.37 | 0.08 | 8.7x | 105 | 74% |
| SMA 크로스오버 fast=58, slow=98 |
6.6% | -90.0% | 0.36 | 0.07 | 7.8x | 79 | 58% |
| ADX / DI 방향성 period=27, threshold=34 |
2.6% | -20.2% | 0.34 | 0.13 | 2.3x | 20 | 4% |
| Supertrend period=10, mult=4.7 |
5.0% | -86.9% | 0.31 | 0.06 | 4.8x | 107 | 57% |
| 볼린저 밴드 돌파 n=68, k=2.4 |
3.6% | -79.0% | 0.27 | 0.05 | 3.1x | 90 | 32% |
| ROC 모멘텀 n=147, threshold=-0.03 |
2.7% | -89.5% | 0.24 | 0.03 | 2.3x | 251 | 62% |
| Parabolic SAR step=0.01, maxStep=0.32 |
2.0% | -86.6% | 0.22 | 0.02 | 1.9x | 399 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=28, mult=2.7 |
1.1% | -81.9% | 0.16 | 0.01 | 1.4x | 134 | 32% |
| MACD fast=27, slow=51, signal=31 |
-1.2% | -85.9% | 0.14 | -0.01 | 0.7x | 234 | 55% |
| Buy and hold | 4.4% | -98.1% | 0.33 | 0.05 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 207-day EMA
- Sell — Sell when the 42-day EMA falls below the 207-day EMA