Trend-Following Backtester · Guide · backtest 한국어
equity · US
Camden National Corporation backtest
10 trend-following strategies were compared on the full daily history of Camden National 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 5.9%, drawdown -66.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -8.7%, Sharpe 0.33, 1% exposure.
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=30, threshold=35 |
1.0% | -8.7% | 0.33 | 0.11 | 1.3x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3.6 |
0.9% | -27.5% | 0.17 | 0.03 | 1.3x | 22 | 3% |
| ROC 모멘텀 n=153, threshold=-0.15 |
-0.7% | -88.9% | 0.12 | -0.01 | 0.8x | 127 | 86% |
| Donchian 채널 돌파 entryN=13, exitN=100 |
-1.3% | -74.9% | 0.12 | -0.02 | 0.7x | 77 | 88% |
| SMA 크로스오버 fast=58, slow=197 |
-0.9% | -56.0% | 0.08 | -0.02 | 0.8x | 49 | 56% |
| EMA 크로스오버 fast=55, slow=109 |
-2.0% | -71.1% | 0.03 | -0.03 | 0.6x | 63 | 59% |
| Supertrend period=13, mult=5 |
-2.8% | -74.6% | -0.01 | -0.04 | 0.4x | 93 | 56% |
| 볼린저 밴드 돌파 n=73, k=2.9 |
-1.2% | -65.9% | -0.04 | -0.02 | 0.7x | 38 | 13% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.4% | -90.4% | -0.11 | -0.06 | 0.2x | 235 | 54% |
| MACD fast=19, slow=24, signal=18 |
-6.5% | -92.8% | -0.17 | -0.07 | 0.1x | 379 | 50% |
| Buy and hold | 5.9% | -66.9% | 0.34 | 0.09 | 5.2x | 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, 30-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)