Trend-Following Backtester · Guide · backtest 한국어
equity · US
Artesian Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of Artesian Resources Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -52.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.4%, MDD -52.1%, Sharpe 0.36, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.13 |
6.4% | -52.1% | 0.36 | 0.12 | 7.5x | 5 | 100% |
| EMA 크로스오버 fast=77, slow=377 |
4.1% | -45.0% | 0.29 | 0.09 | 3.7x | 20 | 69% |
| Donchian 채널 돌파 entryN=15, exitN=183 |
3.8% | -51.1% | 0.27 | 0.07 | 3.4x | 37 | 92% |
| SMA 크로스오버 fast=62, slow=234 |
3.5% | -34.8% | 0.26 | 0.10 | 3.0x | 43 | 61% |
| Supertrend period=12, mult=4.9 |
-3.0% | -66.9% | -0.04 | -0.05 | 0.4x | 95 | 60% |
| 볼린저 밴드 돌파 n=70, k=3.5 |
-1.2% | -38.1% | -0.07 | -0.03 | 0.7x | 32 | 10% |
| ADX / DI 방향성 period=29, threshold=19 |
-2.6% | -61.9% | -0.15 | -0.04 | 0.4x | 86 | 14% |
| MACD fast=42, slow=56, signal=31 |
-8.5% | -94.9% | -0.35 | -0.09 | 0.1x | 259 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-9.0% | -97.0% | -0.36 | -0.09 | 0.0x | 259 | 55% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=5, mult=3.6 |
-3.7% | -71.5% | -0.42 | -0.05 | 0.3x | 56 | 7% |
| Buy and hold | 6.2% | -52.1% | 0.35 | 0.12 | 7.0x | 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 3-day return is greater than -13%
- Sell — Sell when the 3-day return drops to -13% or below