Trend-Following Backtester · Guide · backtest 한국어
equity · US
Aspen Aerogels, Inc. backtest
10 trend-following strategies were compared on the full daily history of Aspen Aerogels, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.3%, MDD -34.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.7%, drawdown -96.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.3%, MDD -34.3%, Sharpe 0.60, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.7%, MDD -69.0%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 12.3%, MDD -34.3%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=29 |
12.3% | -34.3% | 0.60 | 0.36 | 4.1x | 30 | 13% |
| SMA 크로스오버 fast=43, slow=93 |
17.7% | -69.0% | 0.58 | 0.26 | 7.3x | 35 | 49% |
| Donchian 채널 돌파 entryN=55, exitN=52 |
16.0% | -72.2% | 0.55 | 0.22 | 6.0x | 20 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
14.0% | -58.6% | 0.55 | 0.24 | 4.9x | 36 | 31% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=3.7 |
12.1% | -44.9% | 0.53 | 0.27 | 4.0x | 20 | 19% |
| EMA 크로스오버 fast=7, slow=124 |
11.3% | -71.8% | 0.46 | 0.16 | 3.7x | 44 | 42% |
| Supertrend period=38, mult=3.7 |
10.5% | -76.8% | 0.45 | 0.14 | 3.3x | 50 | 46% |
| ROC 모멘텀 n=116, threshold=0.14 |
10.3% | -70.4% | 0.44 | 0.15 | 3.3x | 67 | 34% |
| MACD fast=13, slow=49, signal=13 |
3.2% | -77.5% | 0.32 | 0.04 | 1.5x | 164 | 53% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-4.5% | -78.1% | 0.14 | -0.06 | 0.6x | 222 | 48% |
| Buy and hold | -6.7% | -96.0% | 0.27 | -0.07 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)