Trend-Following Backtester · Guide · backtest 한국어
equity · US
AdvanSix Inc. backtest
10 trend-following strategies were compared on the full daily history of AdvanSix Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.1%, MDD -34.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.9%, drawdown -81.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.6%, MDD -43.2%, Sharpe 0.60, 34% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 10.1%, MDD -34.3%, exposure 21%).
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=131, threshold=0.11 |
12.6% | -43.2% | 0.60 | 0.29 | 3.2x | 43 | 34% |
| ADX / DI 방향성 period=31, threshold=18 |
10.1% | -34.3% | 0.59 | 0.29 | 2.6x | 30 | 21% |
| Donchian 채널 돌파 entryN=91, exitN=50 |
8.4% | -54.5% | 0.44 | 0.15 | 2.2x | 11 | 35% |
| SMA 크로스오버 fast=32, slow=175 |
8.6% | -48.3% | 0.44 | 0.18 | 2.3x | 13 | 40% |
| EMA 크로스오버 fast=37, slow=54 |
6.7% | -59.4% | 0.37 | 0.11 | 1.9x | 28 | 47% |
| 볼린저 밴드 돌파 n=30, k=1.8 |
5.9% | -48.0% | 0.35 | 0.12 | 1.8x | 64 | 32% |
| Supertrend period=11, mult=2.7 |
5.1% | -66.8% | 0.32 | 0.08 | 1.6x | 75 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=1.4 |
2.9% | -63.8% | 0.24 | 0.05 | 1.3x | 62 | 38% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.2% | -80.5% | 0.10 | -0.03 | 0.8x | 136 | 50% |
| MACD fast=12, slow=32, signal=21 |
-2.7% | -65.0% | 0.09 | -0.04 | 0.8x | 133 | 50% |
| Buy and hold | 1.9% | -81.6% | 0.28 | 0.02 | 1.2x | 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 131-day return is greater than 11%
- Sell — Sell when the 131-day return drops to 11% or below