Trend-Following Backtester · Guide · backtest 한국어
equity · US
Materion Corporation backtest
10 trend-following strategies were compared on the full daily history of Materion Corporation. 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 7.4%, drawdown -89.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -73.8%, Sharpe 0.33, 61% 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=22, exitN=31 |
5.6% | -73.8% | 0.33 | 0.08 | 12.6x | 217 | 61% |
| SMA 크로스오버 fast=34, slow=208 |
4.7% | -79.0% | 0.30 | 0.06 | 8.4x | 81 | 56% |
| EMA 크로스오버 fast=124, slow=203 |
4.5% | -71.7% | 0.30 | 0.06 | 7.7x | 49 | 59% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=1.4 |
3.0% | -61.5% | 0.24 | 0.05 | 4.0x | 418 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.7% | -78.3% | 0.24 | 0.03 | 3.5x | 367 | 52% |
| Supertrend period=13, mult=3.1 |
2.7% | -65.5% | 0.24 | 0.04 | 3.5x | 350 | 52% |
| 볼린저 밴드 돌파 n=72, k=1.1 |
2.8% | -67.9% | 0.23 | 0.04 | 3.6x | 234 | 44% |
| ROC 모멘텀 n=132, threshold=-0.01 |
2.6% | -78.9% | 0.23 | 0.03 | 3.3x | 339 | 59% |
| MACD fast=18, slow=49, signal=18 |
2.6% | -81.3% | 0.23 | 0.03 | 3.3x | 494 | 50% |
| ADX / DI 방향성 period=38, threshold=34 |
0.2% | -8.0% | 0.08 | 0.02 | 1.1x | 2 | 0% |
| Buy and hold | 7.4% | -89.7% | 0.38 | 0.08 | 28.1x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 31 days