Trend-Following Backtester · Guide · backtest 한국어
equity · US
Argan, Inc. backtest
10 trend-following strategies were compared on the full daily history of Argan, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 28.6%, drawdown -94.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -71.0%, Sharpe 0.49, 54% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=165 |
12.7% | -71.0% | 0.49 | 0.18 | 40.6x | 53 | 54% |
| EMA 크로스오버 fast=41, slow=163 |
11.5% | -83.2% | 0.47 | 0.14 | 29.1x | 49 | 52% |
| Donchian 채널 돌파 entryN=42, exitN=58 |
10.1% | -91.3% | 0.43 | 0.11 | 19.4x | 80 | 61% |
| ADX / DI 방향성 period=22, threshold=39 |
5.0% | -50.2% | 0.29 | 0.10 | 4.5x | 38 | 6% |
| ROC 모멘텀 n=146, threshold=-0.01 |
0.3% | -98.3% | 0.22 | 0.00 | 1.1x | 317 | 56% |
| Supertrend period=13, mult=5 |
8.4% | -99.5% | 0.20 | 0.08 | 12.3x | 152 | 57% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-1.9% | -99.1% | 0.17 | -0.02 | 0.6x | 527 | 51% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=2.3 |
-6.9% | -99.9% | 0.16 | -0.07 | 0.1x | 230 | 21% |
| 볼린저 밴드 돌파 n=43, k=3.1 |
-3.7% | -94.7% | 0.06 | -0.04 | 0.3x | 82 | 17% |
| MACD fast=19, slow=29, signal=17 |
-11.6% | -99.6% | -0.02 | -0.12 | 0.0x | 402 | 50% |
| Buy and hold | 28.6% | -94.4% | 0.24 | 0.30 | 2421.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 49-day average falls below the 165-day average