Trend-Following Backtester · Guide · backtest 한국어
equity · US
ARMOUR Residential REIT, Inc. backtest
10 trend-following strategies were compared on the full daily history of ARMOUR Residential REIT, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.6%, MDD -11.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.3%, drawdown -96.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.4%, MDD -18.4%, Sharpe 0.10, 14% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 78.1%p (CAGR -0.6%, MDD -11.9%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=112, exitN=12 |
0.4% | -18.4% | 0.10 | 0.02 | 1.1x | 24 | 14% |
| 볼린저 밴드 돌파 n=53, k=2 |
0.3% | -21.2% | 0.08 | 0.02 | 1.1x | 36 | 19% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=3.9 |
-0.1% | -16.1% | -0.01 | -0.01 | 1.0x | 16 | 7% |
| Supertrend period=9, mult=4.5 |
-2.3% | -49.3% | -0.11 | -0.05 | 0.6x | 54 | 40% |
| ROC 모멘텀 n=167, threshold=0.19 |
-0.6% | -11.9% | -0.12 | -0.05 | 0.9x | 52 | 6% |
| ADX / DI 방향성 period=27, threshold=29 |
-0.7% | -16.1% | -0.24 | -0.05 | 0.9x | 14 | 2% |
| SMA 크로스오버 fast=50, slow=169 |
-5.7% | -79.9% | -0.25 | -0.07 | 0.3x | 30 | 31% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-7.5% | -78.8% | -0.39 | -0.10 | 0.2x | 134 | 54% |
| MACD fast=33, slow=66, signal=26 |
-8.2% | -83.1% | -0.42 | -0.10 | 0.2x | 124 | 53% |
| EMA 크로스오버 fast=27, slow=152 |
-5.1% | -63.5% | -0.42 | -0.08 | 0.4x | 38 | 27% |
| Buy and hold | -15.3% | -96.6% | -0.41 | -0.16 | 0.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 112 days
- Sell — Sell when price breaks below the lowest low of the last 12 days