Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arcosa, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arcosa, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 23.0%, drawdown -36.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.6%, MDD -35.5%, Sharpe 0.65, 85% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=52, threshold=-0.11 |
17.6% | -35.5% | 0.65 | 0.50 | 3.5x | 59 | 85% |
| Donchian 채널 돌파 entryN=18, exitN=45 |
16.1% | -28.0% | 0.63 | 0.57 | 3.2x | 25 | 77% |
| SMA 크로스오버 fast=38, slow=194 |
12.9% | -48.0% | 0.54 | 0.27 | 2.6x | 9 | 70% |
| Supertrend period=29, mult=4.8 |
11.9% | -46.0% | 0.54 | 0.26 | 2.4x | 25 | 64% |
| EMA 크로스오버 fast=54, slow=139 |
9.6% | -45.6% | 0.44 | 0.21 | 2.0x | 11 | 75% |
| Parabolic SAR step=0.01, maxStep=0.12 |
7.8% | -52.0% | 0.40 | 0.15 | 1.8x | 99 | 57% |
| MACD fast=13, slow=15, signal=10 |
5.1% | -58.0% | 0.32 | 0.09 | 1.5x | 156 | 47% |
| 볼린저 밴드 돌파 n=15, k=2.2 |
-0.5% | -45.4% | 0.07 | -0.01 | 1.0x | 68 | 25% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=1.5 |
-4.1% | -54.4% | -0.06 | -0.07 | 0.7x | 67 | 47% |
| ADX / DI 방향성 period=24, threshold=30 |
-0.3% | -5.5% | -0.17 | -0.05 | 1.0x | 2 | 1% |
| Buy and hold | 23.0% | -36.8% | 0.72 | 0.63 | 5.0x | 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 52-day return is greater than -11%
- Sell — Sell when the 52-day return drops to -11% or below