Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arrow Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Arrow Financial Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -86.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -10.0%, Sharpe 0.62, 10% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.3%, MDD -86.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=31, threshold=53 |
2.3% | -10.0% | 0.62 | 0.23 | 2.8x | 6 | 10% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.15 |
7.3% | -86.5% | 0.37 | 0.08 | 25.4x | 11 | 100% |
| EMA 크로스오버 fast=41, slow=289 |
5.4% | -74.7% | 0.31 | 0.07 | 11.0x | 59 | 65% |
| SMA 크로스오버 fast=58, slow=100 |
4.9% | -69.9% | 0.30 | 0.07 | 8.9x | 119 | 57% |
| 볼린저 밴드 돌파 n=93, k=3.5 |
3.8% | -58.3% | 0.26 | 0.06 | 5.4x | 30 | 17% |
| Donchian 채널 돌파 entryN=83, exitN=49 |
3.2% | -70.8% | 0.24 | 0.04 | 4.2x | 87 | 47% |
| Supertrend period=8, mult=4.9 |
1.5% | -79.9% | 0.19 | 0.02 | 1.9x | 117 | 64% |
| Keltner 채널 돌파 emaPeriod=123, atrPeriod=9, mult=3.7 |
1.8% | -78.2% | 0.18 | 0.02 | 2.3x | 69 | 31% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-4.0% | -98.5% | 0.00 | -0.04 | 0.2x | 350 | 54% |
| MACD fast=12, slow=48, signal=18 |
-19.0% | -100.0% | -0.56 | -0.19 | 0.0x | 792 | 50% |
| Buy and hold | 8.0% | -86.8% | 0.38 | 0.09 | 34.2x | 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, 31-day) is ≥ 53
- Sell — Sell when direction flips or the trend weakens (ADX < 53)