Trend-Following Backtester · Guide · backtest 한국어
etf · AU
Argo Investments Limited backtest
10 trend-following strategies were compared on the full daily history of Argo Investments Limited. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -13.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.7%, drawdown -73.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.2%, MDD -25.8%, Sharpe 0.35, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 0.2%, MDD -13.1%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=62, slow=104 |
3.2% | -25.8% | 0.35 | 0.13 | 2.4x | 43 | 59% |
| SMA 크로스오버 fast=24, slow=157 |
3.0% | -28.7% | 0.33 | 0.11 | 2.3x | 57 | 61% |
| Donchian 채널 돌파 entryN=90, exitN=100 |
2.2% | -34.5% | 0.25 | 0.06 | 1.8x | 35 | 66% |
| ROC 모멘텀 n=100, threshold=-0.11 |
2.1% | -54.6% | 0.22 | 0.04 | 1.8x | 67 | 92% |
| Supertrend period=27, mult=5 |
1.2% | -47.0% | 0.16 | 0.02 | 1.4x | 69 | 53% |
| ADX / DI 방향성 period=19, threshold=41 |
0.2% | -13.1% | 0.09 | 0.02 | 1.1x | 20 | 4% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
0.0% | -19.5% | 0.02 | 0.00 | 1.0x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=4 |
-0.3% | -38.9% | -0.01 | -0.01 | 0.9x | 52 | 20% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-6.0% | -82.1% | -0.22 | -0.07 | 0.2x | 207 | 52% |
| MACD fast=24, slow=37, signal=19 |
-4.3% | -71.2% | -0.34 | -0.06 | 0.3x | 294 | 53% |
| Buy and hold | -0.7% | -73.3% | 0.12 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 62-day EMA crosses above the 104-day EMA
- Sell — Sell when the 62-day EMA falls below the 104-day EMA