Trend-Following Backtester · Guide · backtest 한국어
equity · US
Metallus Inc. backtest
10 trend-following strategies were compared on the full daily history of Metallus Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -14.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.3%, drawdown -95.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -53.1%, Sharpe 0.50, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 3.2%, MDD -14.1%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=273 |
12.4% | -53.1% | 0.50 | 0.23 | 4.2x | 11 | 47% |
| ROC 모멘텀 n=173, threshold=-0.11 |
11.9% | -63.1% | 0.48 | 0.19 | 3.9x | 51 | 56% |
| ADX / DI 방향성 period=33, threshold=36 |
3.2% | -14.1% | 0.35 | 0.23 | 1.5x | 4 | 2% |
| EMA 크로스오버 fast=42, slow=178 |
4.4% | -65.0% | 0.30 | 0.07 | 1.7x | 19 | 46% |
| Donchian 채널 돌파 entryN=29, exitN=56 |
2.8% | -72.6% | 0.29 | 0.04 | 1.4x | 33 | 65% |
| Supertrend period=22, mult=1.7 |
1.0% | -67.9% | 0.25 | 0.02 | 1.1x | 172 | 49% |
| Parabolic SAR step=0.025, maxStep=0.12 |
0.7% | -66.1% | 0.24 | 0.01 | 1.1x | 262 | 50% |
| 볼린저 밴드 돌파 n=37, k=1.2 |
-0.8% | -65.9% | 0.17 | -0.01 | 0.9x | 96 | 36% |
| MACD fast=11, slow=16, signal=11 |
-4.1% | -70.8% | 0.16 | -0.06 | 0.6x | 244 | 52% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=1.5 |
-6.2% | -60.2% | 0.00 | -0.10 | 0.5x | 106 | 30% |
| Buy and hold | -5.3% | -95.5% | 0.24 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 273-day average
- Sell — Sell (to cash) when the 51-day average falls below the 273-day average