Trend-Following Backtester · Guide · backtest 한국어
equity · US
Agilysys, Inc. backtest
10 trend-following strategies were compared on the full daily history of Agilysys, Inc.. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -91.1%).
Sharpe leader (same as main): Parabolic SAR — CAGR 5.4%, MDD -80.2%, Sharpe 0.32, 55% 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.36 |
5.4% | -80.2% | 0.32 | 0.07 | 11.6x | 345 | 55% |
| Donchian 채널 돌파 entryN=7, exitN=63 |
4.4% | -90.3% | 0.32 | 0.05 | 7.4x | 193 | 85% |
| MACD fast=14, slow=43, signal=19 |
5.0% | -73.5% | 0.31 | 0.07 | 9.5x | 551 | 50% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
4.1% | -61.1% | 0.30 | 0.07 | 6.6x | 121 | 21% |
| EMA 크로스오버 fast=58, slow=254 |
3.3% | -66.6% | 0.27 | 0.05 | 4.6x | 57 | 58% |
| SMA 크로스오버 fast=17, slow=36 |
2.9% | -90.6% | 0.26 | 0.03 | 3.8x | 347 | 54% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=17, mult=2 |
3.0% | -56.3% | 0.24 | 0.05 | 3.9x | 255 | 30% |
| ADX / DI 방향성 period=19, threshold=15 |
2.3% | -68.0% | 0.23 | 0.03 | 2.9x | 579 | 45% |
| Supertrend period=20, mult=3.2 |
1.2% | -79.2% | 0.21 | 0.02 | 1.7x | 257 | 56% |
| ROC 모멘텀 n=64, threshold=0.12 |
-2.4% | -92.7% | 0.05 | -0.03 | 0.3x | 517 | 34% |
| Buy and hold | 9.2% | -91.1% | 0.43 | 0.10 | 60.9x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots