Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Argan backtest
10 trend-following strategies were compared on the full daily history of Argan. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.2%, MDD -33.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.8%, drawdown -58.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.2%, MDD -33.4%, Sharpe 0.65, 65% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 11.2%, MDD -33.4%, exposure 65%).
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=183, threshold=0 |
11.2% | -33.4% | 0.65 | 0.33 | 7.6x | 71 | 65% |
| EMA 크로스오버 fast=78, slow=283 |
10.9% | -44.7% | 0.63 | 0.24 | 7.3x | 9 | 63% |
| SMA 크로스오버 fast=38, slow=205 |
10.9% | -37.6% | 0.63 | 0.29 | 7.2x | 25 | 66% |
| Donchian 채널 돌파 entryN=137, exitN=92 |
9.3% | -37.6% | 0.61 | 0.25 | 5.5x | 15 | 54% |
| ADX / DI 방향성 period=47, threshold=29 |
2.2% | -8.5% | 0.44 | 0.25 | 1.5x | 12 | 6% |
| Supertrend period=5, mult=3.3 |
4.5% | -50.9% | 0.33 | 0.09 | 2.3x | 99 | 63% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
3.4% | -26.3% | 0.32 | 0.13 | 1.9x | 57 | 32% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.0% | -52.6% | 0.30 | 0.08 | 2.1x | 224 | 57% |
| MACD fast=15, slow=59, signal=19 |
1.2% | -48.2% | 0.15 | 0.02 | 1.3x | 212 | 51% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=22, mult=4 |
0.6% | -25.6% | 0.12 | 0.02 | 1.1x | 17 | 7% |
| Buy and hold | 8.8% | -58.4% | 0.45 | 0.15 | 5.0x | 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 183-day return is greater than 0%
- Sell — Sell when the 183-day return drops to 0% or below