Trend-Following Backtester · Guide · backtest 한국어
equity · US
Astronics Corporation backtest
10 trend-following strategies were compared on the full daily history of Astronics Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.9%, drawdown -91.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.4%, MDD -87.6%, Sharpe 0.45, 74% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=229, threshold=-0.15 |
10.4% | -87.6% | 0.45 | 0.12 | 98.1x | 223 | 74% |
| SMA 크로스오버 fast=30, slow=154 |
10.0% | -79.0% | 0.43 | 0.13 | 83.4x | 93 | 57% |
| EMA 크로스오버 fast=58, slow=143 |
9.3% | -84.9% | 0.42 | 0.11 | 62.9x | 73 | 58% |
| ADX / DI 방향성 period=43, threshold=12 |
9.1% | -74.6% | 0.41 | 0.12 | 56.9x | 228 | 44% |
| Supertrend period=13, mult=5 |
8.6% | -83.2% | 0.41 | 0.10 | 45.3x | 109 | 58% |
| Donchian 채널 돌파 entryN=45, exitN=57 |
7.5% | -90.7% | 0.39 | 0.08 | 28.2x | 95 | 58% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.3% | -95.6% | 0.26 | 0.01 | 1.8x | 528 | 51% |
| 볼린저 밴드 돌파 n=63, k=3.4 |
2.2% | -67.7% | 0.21 | 0.03 | 2.8x | 74 | 20% |
| MACD fast=23, slow=47, signal=29 |
-6.5% | -99.7% | 0.13 | -0.07 | 0.0x | 430 | 52% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=2.4 |
-1.6% | -94.4% | 0.12 | -0.02 | 0.5x | 182 | 28% |
| Buy and hold | 11.9% | -91.8% | 0.51 | 0.13 | 189.1x | 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 229-day return is greater than -15%
- Sell — Sell when the 229-day return drops to -15% or below