Trend-Following Backtester · Guide · backtest 한국어
equity · US
Array Digital Infrastructure, Inc. backtest
10 trend-following strategies were compared on the full daily history of Array Digital Infrastructure, Inc.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.3%, MDD -28.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.2%, drawdown -88.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.3%, MDD -28.4%, Sharpe 0.37, 8% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 59.7%p (CAGR 3.3%, MDD -28.4%, exposure 8%).
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=17, atrPeriod=24, mult=4 |
3.3% | -28.4% | 0.37 | 0.12 | 3.5x | 66 | 8% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
2.4% | -42.2% | 0.24 | 0.06 | 2.5x | 50 | 15% |
| Donchian 채널 돌파 entryN=109, exitN=46 |
2.0% | -81.8% | 0.20 | 0.02 | 2.1x | 66 | 33% |
| SMA 크로스오버 fast=54, slow=140 |
1.5% | -75.6% | 0.18 | 0.02 | 1.8x | 72 | 48% |
| ADX / DI 방향성 period=54, threshold=14 |
1.4% | -68.4% | 0.17 | 0.02 | 1.7x | 88 | 21% |
| Supertrend period=15, mult=4.7 |
-1.2% | -95.6% | 0.09 | -0.01 | 0.6x | 158 | 51% |
| ROC 모멘텀 n=118, threshold=0.23 |
0.2% | -77.0% | 0.08 | 0.00 | 1.1x | 174 | 15% |
| MACD fast=18, slow=37, signal=18 |
-2.6% | -94.3% | 0.05 | -0.03 | 0.4x | 443 | 51% |
| EMA 크로스오버 fast=47, slow=140 |
-1.5% | -89.0% | 0.04 | -0.02 | 0.6x | 74 | 47% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-4.4% | -97.7% | -0.01 | -0.04 | 0.2x | 316 | 52% |
| Buy and hold | 2.2% | -88.2% | 0.24 | 0.03 | 2.3x | 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 17-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average