Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cactus, Inc. Class A Common Stock backtest
10 trend-following strategies were compared on the full daily history of Cactus, Inc. Class A Common Stock. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.0%, MDD -33.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.7%, drawdown -79.2%).
Sharpe leader (same as main): MACD — CAGR 25.9%, MDD -41.7%, Sharpe 0.82, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 14.0%, MDD -33.2%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=45, signal=14 |
25.9% | -41.7% | 0.82 | 0.62 | 7.1x | 123 | 48% |
| Donchian 채널 돌파 entryN=9, exitN=77 |
24.8% | -41.2% | 0.73 | 0.60 | 6.5x | 25 | 85% |
| Supertrend period=11, mult=2.3 |
19.6% | -47.6% | 0.68 | 0.41 | 4.6x | 79 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
17.9% | -44.6% | 0.64 | 0.40 | 4.0x | 145 | 50% |
| ADX / DI 방향성 period=10, threshold=18 |
14.0% | -33.2% | 0.57 | 0.42 | 3.0x | 165 | 46% |
| SMA 크로스오버 fast=9, slow=26 |
11.9% | -40.7% | 0.50 | 0.29 | 2.6x | 87 | 54% |
| ROC 모멘텀 n=16, threshold=-0.04 |
9.3% | -56.0% | 0.42 | 0.17 | 2.1x | 179 | 68% |
| EMA 크로스오버 fast=4, slow=211 |
7.1% | -44.0% | 0.37 | 0.16 | 1.8x | 35 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.2 |
3.3% | -53.5% | 0.26 | 0.06 | 1.3x | 113 | 44% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=2.6 |
-0.8% | -39.0% | 0.07 | -0.02 | 0.9x | 34 | 23% |
| Buy and hold | 14.7% | -79.2% | 0.52 | 0.19 | 3.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/45) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line