Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arrow Electronics, Inc. backtest
10 trend-following strategies were compared on the full daily history of Arrow Electronics, Inc.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.3%, MDD -71.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -90.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -75.0%, Sharpe 0.43, 80% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 15.4%p (CAGR 7.3%, MDD -71.9%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=65 |
9.5% | -75.0% | 0.43 | 0.13 | 66.3x | 153 | 80% |
| EMA 크로스오버 fast=68, slow=83 |
7.3% | -71.9% | 0.39 | 0.10 | 26.3x | 75 | 58% |
| SMA 크로스오버 fast=18, slow=241 |
6.0% | -69.4% | 0.35 | 0.09 | 14.6x | 83 | 55% |
| Supertrend period=16, mult=5 |
6.0% | -63.5% | 0.34 | 0.09 | 15.0x | 178 | 59% |
| 볼린저 밴드 돌파 n=74, k=2.6 |
4.6% | -57.0% | 0.32 | 0.08 | 8.0x | 86 | 26% |
| ROC 모멘텀 n=114, threshold=0.01 |
2.5% | -79.6% | 0.23 | 0.03 | 3.1x | 407 | 55% |
| MACD fast=31, slow=72, signal=26 |
1.5% | -70.8% | 0.20 | 0.02 | 2.0x | 322 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.0% | -70.5% | 0.17 | 0.01 | 1.6x | 394 | 53% |
| ADX / DI 방향성 period=35, threshold=7 |
0.8% | -86.5% | 0.16 | 0.01 | 1.4x | 603 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=3.5 |
-0.0% | -85.2% | 0.10 | -0.00 | 1.0x | 162 | 30% |
| Buy and hold | 8.5% | -90.4% | 0.40 | 0.09 | 44.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 65 days