Trend-Following Backtester · Guide · backtest 한국어
equity · US
Artisan Partners Asset Management Inc. backtest
10 trend-following strategies were compared on the full daily history of Artisan Partners Asset Management Inc.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -36.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.6%, drawdown -74.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.0%, MDD -42.9%, Sharpe 0.31, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 1.8%, MDD -36.7%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=13 |
4.0% | -42.9% | 0.31 | 0.09 | 1.7x | 135 | 34% |
| Donchian 채널 돌파 entryN=33, exitN=25 |
1.8% | -50.8% | 0.19 | 0.04 | 1.3x | 51 | 45% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=15, mult=2.1 |
1.8% | -36.7% | 0.19 | 0.05 | 1.3x | 65 | 29% |
| 볼린저 밴드 돌파 n=38, k=2.8 |
1.3% | -38.9% | 0.17 | 0.03 | 1.2x | 24 | 13% |
| SMA 크로스오버 fast=56, slow=186 |
0.3% | -52.7% | 0.13 | 0.01 | 1.0x | 16 | 43% |
| Supertrend period=29, mult=4 |
0.4% | -62.7% | 0.12 | 0.01 | 1.1x | 59 | 43% |
| ROC 모멘텀 n=116, threshold=0.07 |
-1.1% | -47.8% | 0.02 | -0.02 | 0.9x | 109 | 32% |
| MACD fast=22, slow=26, signal=21 |
-2.4% | -69.5% | -0.01 | -0.03 | 0.7x | 157 | 51% |
| EMA 크로스오버 fast=30, slow=108 |
-2.7% | -53.8% | -0.03 | -0.05 | 0.7x | 39 | 42% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-3.5% | -65.7% | -0.05 | -0.05 | 0.6x | 321 | 51% |
| Buy and hold | 0.6% | -74.9% | 0.18 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)