Trend-Following Backtester · Guide · backtest 한국어
equity · US
Adamas Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Adamas Trust, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -11.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.1%, drawdown -99.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.7%, MDD -29.1%, Sharpe 0.41, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 70.0%p (CAGR 0.2%, MDD -11.3%, exposure 0%).
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=164, threshold=0.28 |
3.7% | -29.1% | 0.41 | 0.13 | 2.2x | 49 | 10% |
| 볼린저 밴드 돌파 n=64, k=3.3 |
2.9% | -36.3% | 0.28 | 0.08 | 1.9x | 21 | 11% |
| SMA 크로스오버 fast=50, slow=151 |
2.0% | -66.7% | 0.20 | 0.03 | 1.6x | 41 | 41% |
| Donchian 채널 돌파 entryN=67, exitN=76 |
1.0% | -64.8% | 0.15 | 0.02 | 1.3x | 31 | 48% |
| ADX / DI 방향성 period=30, threshold=37 |
0.2% | -11.3% | 0.10 | 0.02 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=59, slow=80 |
-0.6% | -78.2% | 0.06 | -0.01 | 0.9x | 49 | 42% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=3.2 |
-1.1% | -56.1% | -0.01 | -0.02 | 0.8x | 51 | 16% |
| MACD fast=24, slow=110, signal=38 |
-8.0% | -89.1% | -0.10 | -0.09 | 0.2x | 153 | 52% |
| Supertrend period=36, mult=5 |
-4.2% | -81.7% | -0.10 | -0.05 | 0.4x | 67 | 43% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-14.6% | -98.1% | -0.37 | -0.15 | 0.0x | 346 | 46% |
| Buy and hold | -15.1% | -99.1% | -0.07 | -0.15 | 0.0x | 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 164-day return is greater than 28%
- Sell — Sell when the 164-day return drops to 28% or below