Trend-Following Backtester · Guide · backtest 한국어
equity · US
Array Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Array Technologies, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -5.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.2%, drawdown -92.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.2%, MDD -14.4%, Sharpe 0.44, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 37.4%p higher than buy and hold, while drawdown improves by 77.9%p (CAGR 1.3%, MDD -5.4%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=19, mult=1.9 |
7.2% | -14.4% | 0.44 | 0.50 | 1.5x | 12 | 3% |
| 볼린저 밴드 돌파 n=15, k=3 |
5.6% | -21.4% | 0.37 | 0.26 | 1.4x | 8 | 5% |
| Supertrend period=15, mult=5 |
4.3% | -56.2% | 0.36 | 0.08 | 1.3x | 10 | 48% |
| MACD fast=13, slow=34, signal=10 |
0.9% | -72.5% | 0.29 | 0.01 | 1.1x | 79 | 49% |
| ADX / DI 방향성 period=35, threshold=23 |
1.3% | -5.4% | 0.27 | 0.24 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=52, slow=89 |
-4.5% | -49.6% | 0.15 | -0.09 | 0.8x | 10 | 35% |
| SMA 크로스오버 fast=29, slow=121 |
-6.4% | -67.5% | 0.13 | -0.09 | 0.7x | 12 | 39% |
| ROC 모멘텀 n=109, threshold=0.13 |
-6.6% | -59.0% | 0.05 | -0.11 | 0.7x | 66 | 26% |
| Donchian 채널 돌파 entryN=113, exitN=77 |
-11.1% | -65.5% | 0.04 | -0.17 | 0.5x | 6 | 44% |
| Parabolic SAR step=0.04, maxStep=0.18 |
-15.9% | -73.7% | -0.07 | -0.22 | 0.4x | 182 | 45% |
| Buy and hold | -30.2% | -92.2% | -0.02 | -0.33 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 5-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 5-day average