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; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.9%, MDD -43.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.8%, drawdown -90.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.0%, MDD -46.1%, Sharpe 0.65, 33% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 36.8%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 11.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=122, threshold=-0.01 |
24.0% | -46.1% | 0.65 | 0.52 | 3.3x | 32 | 33% |
| Supertrend period=26, mult=2.6 |
21.0% | -54.1% | 0.61 | 0.39 | 2.9x | 42 | 29% |
| SMA 크로스오버 fast=8, slow=239 |
17.4% | -46.1% | 0.56 | 0.38 | 2.5x | 6 | 32% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=1.6 |
17.1% | -52.2% | 0.55 | 0.33 | 2.4x | 32 | 19% |
| 볼린저 밴드 돌파 n=18, k=2.5 |
15.9% | -58.7% | 0.54 | 0.27 | 2.3x | 34 | 20% |
| MACD fast=13, slow=57, signal=18 |
15.3% | -62.8% | 0.53 | 0.24 | 2.2x | 51 | 49% |
| EMA 크로스오버 fast=54, slow=102 |
14.4% | -46.1% | 0.51 | 0.31 | 2.1x | 4 | 30% |
| Donchian 채널 돌파 entryN=86, exitN=19 |
11.9% | -43.2% | 0.47 | 0.28 | 1.9x | 6 | 13% |
| ADX / DI 방향성 period=11, threshold=34 |
6.7% | -46.2% | 0.36 | 0.15 | 1.4x | 22 | 13% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-5.8% | -65.7% | 0.19 | -0.09 | 0.7x | 154 | 46% |
| Buy and hold | -12.8% | -90.5% | 0.23 | -0.14 | 0.5x | 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 122-day return is greater than -1%
- Sell — Sell when the 122-day return drops to -1% or below