Trend-Following Backtester · Guide · backtest 한국어
equity · US
Archer Aviation Inc. backtest
10 trend-following strategies were compared on the full daily history of Archer Aviation Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.7%, MDD -43.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.2%, drawdown -90.5%).
Sharpe leader (same as main): Supertrend — CAGR 21.3%, MDD -54.1%, Sharpe 0.61, 30% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 30.5%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 11.7%, MDD -43.2%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=2.6 |
21.3% | -54.1% | 0.61 | 0.39 | 3.0x | 43 | 30% |
| ROC 모멘텀 n=122, threshold=-0.01 |
20.4% | -46.1% | 0.60 | 0.44 | 2.9x | 36 | 32% |
| MACD fast=13, slow=57, signal=18 |
19.6% | -62.8% | 0.59 | 0.31 | 2.8x | 51 | 50% |
| SMA 크로스오버 fast=8, slow=239 |
17.2% | -46.1% | 0.55 | 0.37 | 2.5x | 6 | 31% |
| 볼린저 밴드 돌파 n=18, k=2.5 |
14.4% | -58.7% | 0.52 | 0.25 | 2.2x | 36 | 20% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=1.6 |
14.9% | -53.3% | 0.52 | 0.28 | 2.2x | 34 | 20% |
| EMA 크로스오버 fast=54, slow=102 |
14.2% | -46.1% | 0.51 | 0.31 | 2.1x | 4 | 30% |
| Donchian 채널 돌파 entryN=86, exitN=19 |
11.7% | -43.2% | 0.46 | 0.27 | 1.9x | 6 | 13% |
| ADX / DI 방향성 period=11, threshold=34 |
4.4% | -51.8% | 0.30 | 0.08 | 1.3x | 24 | 13% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-4.5% | -65.7% | 0.21 | -0.07 | 0.8x | 156 | 46% |
| Buy and hold | -9.2% | -90.5% | 0.28 | -0.10 | 0.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)