Trend-Following Backtester · Guide · backtest 한국어
equity · US
Astec Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Astec Industries, Inc.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.2%, MDD -25.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.1%, drawdown -89.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.2%, MDD -25.2%, Sharpe 0.47, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.4%, MDD -79.6%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 64.4%p (CAGR 6.2%, MDD -25.2%, exposure 9%).
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=60, threshold=22 |
6.2% | -25.2% | 0.47 | 0.25 | 11.3x | 16 | 9% |
| 볼린저 밴드 돌파 n=27, k=3.3 |
4.6% | -29.0% | 0.41 | 0.16 | 6.2x | 50 | 8% |
| SMA 크로스오버 fast=54, slow=191 |
7.4% | -79.6% | 0.38 | 0.09 | 17.5x | 51 | 54% |
| Donchian 채널 돌파 entryN=22, exitN=90 |
6.7% | -79.1% | 0.37 | 0.09 | 13.7x | 87 | 80% |
| EMA 크로스오버 fast=53, slow=111 |
4.5% | -89.2% | 0.30 | 0.05 | 5.9x | 77 | 54% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=14, mult=3.7 |
2.5% | -48.2% | 0.23 | 0.05 | 2.7x | 72 | 14% |
| ROC 모멘텀 n=122, threshold=0.01 |
0.5% | -92.5% | 0.19 | 0.01 | 1.2x | 320 | 55% |
| Supertrend period=17, mult=4.4 |
-0.1% | -92.5% | 0.18 | -0.00 | 1.0x | 148 | 56% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.4% | -92.3% | 0.17 | -0.00 | 0.9x | 492 | 54% |
| MACD fast=15, slow=52, signal=18 |
-0.7% | -89.3% | 0.16 | -0.01 | 0.8x | 478 | 52% |
| Buy and hold | 7.1% | -89.5% | 0.39 | 0.08 | 15.5x | 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, 60-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)