Trend-Following Backtester · Guide · backtest 한국어

equity · US

Armstrong World Industries Inc backtest

10 trend-following strategies were compared on the full daily history of Armstrong World Industries Inc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.7%, MDD -46.7%).

Data 2006-10-18 ~ 2026-07-31daily bars 4,976 (19.8 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.7%, drawdown -83.4%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -36.1%, Sharpe 0.46, 11% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 6.7%, MDD -46.7%, exposure 60%.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 47.3%p (CAGR 6.7%, MDD -46.7%, exposure 60%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=24, threshold=27
4.6%-36.1%0.460.132.4x3211%
Donchian 채널 돌파
entryN=111, exitN=23
5.2%-53.2%0.400.102.7x3825%
EMA 크로스오버
fast=51, slow=358
6.7%-46.7%0.390.143.6x1460%
SMA 크로스오버
fast=76, slow=210
6.5%-64.7%0.380.103.5x2855%
Supertrend
period=14, mult=3.9
6.0%-65.8%0.360.093.2x9352%
ROC 모멘텀
n=129, threshold=-0.04
4.1%-60.4%0.290.072.2x15463%
Parabolic SAR
step=0.005, maxStep=0.3
3.7%-73.4%0.270.052.0x17951%
Keltner 채널 돌파
emaPeriod=42, atrPeriod=18, mult=2.6
3.1%-63.3%0.260.051.8x8532%
볼린저 밴드 돌파
n=42, k=1.4
2.1%-71.9%0.200.031.5x14341%
MACD
fast=19, slow=63, signal=18
1.5%-81.0%0.190.021.3x19950%
Buy and hold7.7%-83.4%0.390.094.3x1100%
1x 2007 2010 2013 2016 2019 2022 2025 EMA 크로스오버ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -21% -42% -63% -83% 2007 2010 2013 2016 2019 2022 2025 Buy and holdEMA 크로스오버ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -36.1% (2009-11-16 → 2018-07-30), recovered after 5,196 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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