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 11.5%, MDD -33.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.1%, drawdown -58.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -33.4%, Sharpe 0.67, 64% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 11.5%, MDD -33.4%, exposure 64%).
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 |
11.5% | -33.4% | 0.67 | 0.34 | 8.0x | 71 | 64% |
| EMA 크로스오버 fast=78, slow=283 |
11.2% | -42.7% | 0.64 | 0.26 | 7.6x | 8 | 63% |
| SMA 크로스오버 fast=38, slow=205 |
11.1% | -37.6% | 0.64 | 0.30 | 7.5x | 24 | 66% |
| Donchian 채널 돌파 entryN=137, exitN=92 |
9.6% | -34.3% | 0.63 | 0.28 | 5.7x | 15 | 54% |
| ADX / DI 방향성 period=47, threshold=29 |
2.2% | -8.5% | 0.44 | 0.26 | 1.5x | 12 | 6% |
| 볼린저 밴드 돌파 n=53, k=2.6 |
3.7% | -26.3% | 0.34 | 0.14 | 2.0x | 57 | 32% |
| Supertrend period=5, mult=3.3 |
4.8% | -50.9% | 0.34 | 0.09 | 2.4x | 99 | 63% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.1% | -52.6% | 0.31 | 0.08 | 2.2x | 223 | 57% |
| MACD fast=15, slow=59, signal=19 |
1.5% | -48.2% | 0.17 | 0.03 | 1.3x | 211 | 51% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=22, mult=4 |
0.8% | -25.6% | 0.16 | 0.03 | 1.2x | 17 | 7% |
| Buy and hold | 9.1% | -58.4% | 0.46 | 0.16 | 5.2x | 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