Trend-Following Backtester · Guide · backtest 한국어
equity · US
ARKO Corp. backtest
10 trend-following strategies were compared on the full daily history of ARKO Corp.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.2%, MDD -19.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -3.1%, drawdown -78.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.1%, MDD -20.7%, Sharpe 0.44, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 2.2%, MDD -19.0%, exposure 17%).
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=134, threshold=0.22 |
5.1% | -20.7% | 0.44 | 0.25 | 1.4x | 31 | 10% |
| ADX / DI 방향성 period=24, threshold=24 |
2.2% | -19.0% | 0.26 | 0.12 | 1.2x | 12 | 17% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=3.6 |
1.3% | -21.1% | 0.17 | 0.06 | 1.1x | 5 | 7% |
| Supertrend period=27, mult=1.8 |
-2.5% | -63.5% | 0.09 | -0.04 | 0.8x | 87 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-7.3% | -77.3% | 0.03 | -0.09 | 0.6x | 52 | 51% |
| Donchian 채널 돌파 entryN=96, exitN=40 |
-3.8% | -55.5% | -0.02 | -0.07 | 0.8x | 7 | 21% |
| MACD fast=19, slow=59, signal=19 |
-7.9% | -69.6% | -0.09 | -0.11 | 0.6x | 66 | 55% |
| SMA 크로스오버 fast=11, slow=189 |
-10.2% | -75.6% | -0.24 | -0.13 | 0.5x | 21 | 36% |
| EMA 크로스오버 fast=36, slow=100 |
-11.5% | -79.1% | -0.27 | -0.14 | 0.4x | 21 | 39% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
-7.3% | -41.6% | -0.43 | -0.17 | 0.6x | 2 | 1% |
| Buy and hold | -3.1% | -78.4% | 0.18 | -0.04 | 0.8x | 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 134-day return is greater than 22%
- Sell — Sell when the 134-day return drops to 22% or below