Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of American Resources Corporation. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.8%, MDD -75.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.6%, drawdown -97.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 58.9%, MDD -76.8%, Sharpe 0.90, 31% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 52.3%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 23.8%, MDD -75.5%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=18 |
58.9% | -76.8% | 0.90 | 0.77 | 67.2x | 24 | 31% |
| SMA 크로스오버 fast=41, slow=125 |
28.8% | -93.5% | 0.75 | 0.31 | 10.0x | 16 | 44% |
| ROC 모멘텀 n=144, threshold=0.12 |
20.2% | -90.4% | 0.68 | 0.22 | 5.3x | 54 | 42% |
| EMA 크로스오버 fast=46, slow=68 |
18.4% | -95.7% | 0.68 | 0.19 | 4.7x | 20 | 45% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
23.8% | -75.5% | 0.67 | 0.32 | 7.0x | 42 | 33% |
| Parabolic SAR step=0.01, maxStep=0.1 |
12.9% | -76.4% | 0.57 | 0.17 | 3.0x | 95 | 36% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=16, mult=1 |
3.8% | -86.6% | 0.51 | 0.04 | 1.4x | 78 | 31% |
| Donchian 채널 돌파 entryN=58, exitN=56 |
56.1% | -93.6% | 0.42 | 0.60 | 57.0x | 16 | 49% |
| MACD fast=15, slow=39, signal=13 |
46.4% | -86.6% | 0.41 | 0.54 | 31.9x | 107 | 54% |
| Supertrend period=26, mult=1.8 |
-6.1% | -93.0% | 0.40 | -0.07 | 0.6x | 106 | 34% |
| Buy and hold | 6.6% | -97.1% | 0.42 | 0.07 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)