Trend-Following Backtester · Guide · backtest 한국어
equity · US
Meritage Homes Corporation backtest
10 trend-following strategies were compared on the full daily history of Meritage Homes Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.7%, MDD -60.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.0%, drawdown -93.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.2%, MDD -91.4%, Sharpe 0.41, 81% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.3%, MDD -78.8%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 1.8%p (CAGR 7.7%, MDD -60.6%, exposure 25%).
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=17, exitN=114 |
8.2% | -91.4% | 0.41 | 0.09 | 19.9x | 97 | 81% |
| EMA 크로스오버 fast=58, slow=194 |
8.3% | -78.8% | 0.40 | 0.11 | 20.6x | 47 | 55% |
| ADX / DI 방향성 period=24, threshold=20 |
7.7% | -60.6% | 0.39 | 0.13 | 16.6x | 166 | 25% |
| Supertrend period=9, mult=4.7 |
5.7% | -73.9% | 0.34 | 0.08 | 8.4x | 135 | 54% |
| SMA 크로스오버 fast=45, slow=125 |
5.6% | -84.6% | 0.33 | 0.07 | 7.8x | 77 | 53% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=24, mult=4 |
3.3% | -67.6% | 0.26 | 0.05 | 3.4x | 70 | 14% |
| ROC 모멘텀 n=137, threshold=0.02 |
2.0% | -85.2% | 0.24 | 0.02 | 2.2x | 344 | 53% |
| 볼린저 밴드 돌파 n=33, k=3.4 |
1.8% | -63.2% | 0.19 | 0.03 | 2.0x | 36 | 7% |
| MACD fast=17, slow=52, signal=11 |
-3.7% | -91.1% | 0.13 | -0.04 | 0.2x | 516 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.8% | -94.5% | 0.12 | -0.04 | 0.2x | 324 | 53% |
| Buy and hold | 8.0% | -93.2% | 0.43 | 0.09 | 18.6x | 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 17 days
- Sell — Sell when price breaks below the lowest low of the last 114 days