Trend-Following Backtester · Guide · backtest 한국어
equity · US
ArcBest Corporation backtest
10 trend-following strategies were compared on the full daily history of ArcBest Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -62.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -87.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -62.4%, Sharpe 0.42, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 9.2%, MDD -62.4%, exposure 52%).
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=57, slow=90 |
9.2% | -62.4% | 0.42 | 0.15 | 20.7x | 95 | 52% |
| Supertrend period=33, mult=4.6 |
6.0% | -79.7% | 0.34 | 0.07 | 7.3x | 106 | 48% |
| Donchian 채널 돌파 entryN=93, exitN=72 |
5.7% | -84.4% | 0.33 | 0.07 | 6.7x | 51 | 44% |
| EMA 크로스오버 fast=56, slow=111 |
5.6% | -82.8% | 0.33 | 0.07 | 6.5x | 63 | 51% |
| ADX / DI 방향성 period=38, threshold=17 |
3.7% | -51.0% | 0.28 | 0.07 | 3.5x | 112 | 19% |
| ROC 모멘텀 n=54, threshold=0.01 |
3.3% | -95.4% | 0.27 | 0.04 | 3.1x | 416 | 51% |
| 볼린저 밴드 돌파 n=66, k=1.4 |
3.0% | -85.5% | 0.25 | 0.04 | 2.8x | 154 | 40% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=25, mult=2.1 |
2.5% | -92.0% | 0.23 | 0.03 | 2.3x | 146 | 37% |
| MACD fast=17, slow=52, signal=29 |
-0.1% | -90.8% | 0.18 | -0.00 | 1.0x | 330 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.4% | -95.3% | 0.05 | -0.05 | 0.2x | 294 | 49% |
| Buy and hold | 6.9% | -87.0% | 0.39 | 0.08 | 9.8x | 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 57-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 57-day average falls below the 90-day average