Trend-Following Backtester · Guide · backtest 한국어
equity · US
Camtek Ltd. backtest
10 trend-following strategies were compared on the full daily history of Camtek Ltd.. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 30.0%, MDD -63.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 12.6%, drawdown -97.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.0%, MDD -63.0%, Sharpe 0.79, 45% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 31.7%, MDD -66.4%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 30.0%, MDD -63.0%, exposure 45%).
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=145, threshold=0.13 |
30.0% | -63.0% | 0.79 | 0.48 | 947.5x | 132 | 45% |
| Supertrend period=10, mult=4.4 |
31.2% | -78.3% | 0.79 | 0.40 | 1186.1x | 66 | 52% |
| SMA 크로스오버 fast=84, slow=179 |
28.8% | -67.4% | 0.78 | 0.43 | 737.6x | 29 | 52% |
| Donchian 채널 돌파 entryN=83, exitN=100 |
31.7% | -66.4% | 0.78 | 0.48 | 1316.2x | 22 | 57% |
| EMA 크로스오버 fast=21, slow=88 |
28.2% | -75.0% | 0.74 | 0.38 | 657.7x | 58 | 51% |
| 볼린저 밴드 돌파 n=77, k=0.9 |
24.5% | -63.1% | 0.69 | 0.39 | 305.0x | 102 | 45% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=1.5 |
19.6% | -70.0% | 0.61 | 0.28 | 107.2x | 136 | 40% |
| ADX / DI 방향성 period=39, threshold=17 |
11.0% | -86.2% | 0.46 | 0.13 | 15.3x | 86 | 26% |
| Parabolic SAR step=0.015, maxStep=0.3 |
7.2% | -89.5% | 0.38 | 0.08 | 6.1x | 420 | 49% |
| MACD fast=17, slow=42, signal=18 |
5.3% | -90.4% | 0.34 | 0.06 | 3.9x | 290 | 52% |
| Buy and hold | 12.6% | -97.7% | 0.50 | 0.13 | 22.2x | 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 145-day return is greater than 13%
- Sell — Sell when the 145-day return drops to 13% or below