Trend-Following Backtester · Guide · backtest 한국어
equity · US
Maximus, Inc. backtest
10 trend-following strategies were compared on the full daily history of Maximus, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -61.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -57.9%, Sharpe 0.35, 89% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=5, exitN=61 |
6.0% | -57.9% | 0.35 | 0.10 | 5.5x | 121 | 89% |
| ROC 모멘텀 n=150, threshold=-0.07 |
5.4% | -52.1% | 0.33 | 0.10 | 4.6x | 142 | 72% |
| EMA 크로스오버 fast=25, slow=176 |
3.7% | -62.2% | 0.27 | 0.06 | 2.9x | 50 | 64% |
| SMA 크로스오버 fast=21, slow=168 |
3.4% | -61.4% | 0.26 | 0.06 | 2.6x | 62 | 61% |
| Supertrend period=16, mult=4.6 |
3.3% | -66.5% | 0.26 | 0.05 | 2.6x | 108 | 55% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
1.2% | -17.3% | 0.21 | 0.07 | 1.4x | 18 | 7% |
| MACD fast=20, slow=28, signal=35 |
0.4% | -78.8% | 0.13 | 0.00 | 1.1x | 283 | 52% |
| ADX / DI 방향성 period=39, threshold=30 |
0.1% | -30.0% | 0.05 | 0.00 | 1.0x | 14 | 3% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.5% | -85.7% | 0.05 | -0.02 | 0.6x | 267 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=2.2 |
-0.8% | -71.8% | 0.04 | -0.01 | 0.8x | 168 | 31% |
| Buy and hold | 9.3% | -61.4% | 0.43 | 0.15 | 13.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 5 days
- Sell — Sell when price breaks below the lowest low of the last 61 days