Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mosaic Company (The) backtest
10 trend-following strategies were compared on the full daily history of Mosaic Company (The). 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.1%, MDD -61.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.7%, drawdown -95.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.2%, MDD -80.2%, Sharpe 0.33, 33% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 5.1%, MDD -61.7%, exposure 32%).
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 n=132, threshold=0.11 |
5.2% | -80.2% | 0.33 | 0.07 | 7.1x | 276 | 33% |
| Donchian 채널 돌파 entryN=150, exitN=58 |
5.1% | -61.7% | 0.33 | 0.08 | 6.8x | 48 | 32% |
| SMA 크로스오버 fast=13, slow=176 |
4.6% | -78.5% | 0.30 | 0.06 | 5.7x | 102 | 47% |
| EMA 크로스오버 fast=32, slow=206 |
4.6% | -69.1% | 0.30 | 0.07 | 5.6x | 64 | 44% |
| ADX / DI 방향성 period=47, threshold=13 |
2.7% | -65.2% | 0.24 | 0.04 | 2.8x | 178 | 24% |
| MACD fast=29, slow=30, signal=25 |
2.3% | -81.4% | 0.22 | 0.03 | 2.4x | 345 | 51% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=22, mult=2.8 |
2.3% | -71.7% | 0.22 | 0.03 | 2.4x | 134 | 30% |
| 볼린저 밴드 돌파 n=52, k=2.5 |
1.8% | -65.9% | 0.19 | 0.03 | 2.0x | 110 | 24% |
| Supertrend period=10, mult=2.5 |
0.6% | -82.6% | 0.16 | 0.01 | 1.2x | 397 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.9% | -90.8% | -0.04 | -0.05 | 0.1x | 673 | 52% |
| Buy and hold | 1.7% | -95.6% | 0.26 | 0.02 | 1.9x | 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 132-day return is greater than 11%
- Sell — Sell when the 132-day return drops to 11% or below