Trend-Following Backtester · Guide · backtest 한국어
equity · US
Archrock, Inc. backtest
10 trend-following strategies were compared on the full daily history of Archrock, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -19.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.7%, drawdown -97.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -56.3%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.0%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 1.3%, MDD -19.7%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=34, slow=208 |
11.3% | -56.3% | 0.54 | 0.20 | 7.7x | 25 | 50% |
| EMA 크로스오버 fast=44, slow=255 |
8.5% | -54.6% | 0.46 | 0.15 | 4.7x | 15 | 44% |
| ROC 모멘텀 n=128, threshold=0.03 |
7.5% | -58.7% | 0.40 | 0.13 | 4.0x | 154 | 50% |
| 볼린저 밴드 돌파 n=54, k=2.9 |
4.7% | -29.8% | 0.38 | 0.16 | 2.4x | 24 | 17% |
| Donchian 채널 돌파 entryN=21, exitN=68 |
6.6% | -80.4% | 0.36 | 0.08 | 3.3x | 56 | 75% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2 |
3.6% | -55.3% | 0.27 | 0.07 | 2.0x | 88 | 37% |
| Supertrend period=7, mult=3.6 |
1.9% | -67.1% | 0.23 | 0.03 | 1.4x | 90 | 51% |
| ADX / DI 방향성 period=36, threshold=23 |
1.3% | -19.7% | 0.21 | 0.07 | 1.3x | 20 | 6% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.4% | -85.7% | 0.11 | -0.03 | 0.6x | 182 | 51% |
| MACD fast=13, slow=57, signal=18 |
-6.4% | -83.1% | 0.03 | -0.08 | 0.3x | 242 | 50% |
| Buy and hold | -4.7% | -97.6% | 0.19 | -0.05 | 0.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 34-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 34-day average falls below the 208-day average