Trend-Following Backtester · Guide · backtest 한국어
equity · US
Armstrong World Industries Inc backtest
10 trend-following strategies were compared on the full daily history of Armstrong World Industries Inc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.7%, MDD -46.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -83.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -36.1%, Sharpe 0.46, 11% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.7%, MDD -46.7%, exposure 60%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 47.3%p (CAGR 6.7%, MDD -46.7%, exposure 60%).
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=24, threshold=27 |
4.6% | -36.1% | 0.46 | 0.13 | 2.4x | 32 | 11% |
| Donchian 채널 돌파 entryN=111, exitN=23 |
5.2% | -53.2% | 0.40 | 0.10 | 2.7x | 38 | 25% |
| EMA 크로스오버 fast=51, slow=358 |
6.7% | -46.7% | 0.39 | 0.14 | 3.6x | 14 | 60% |
| SMA 크로스오버 fast=76, slow=210 |
6.5% | -64.7% | 0.38 | 0.10 | 3.5x | 28 | 55% |
| Supertrend period=14, mult=3.9 |
6.0% | -65.8% | 0.36 | 0.09 | 3.2x | 93 | 52% |
| ROC 모멘텀 n=129, threshold=-0.04 |
4.1% | -60.4% | 0.29 | 0.07 | 2.2x | 154 | 63% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.7% | -73.4% | 0.27 | 0.05 | 2.0x | 179 | 51% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=18, mult=2.6 |
3.1% | -63.3% | 0.26 | 0.05 | 1.8x | 85 | 32% |
| 볼린저 밴드 돌파 n=42, k=1.4 |
2.1% | -71.9% | 0.20 | 0.03 | 1.5x | 143 | 41% |
| MACD fast=19, slow=63, signal=18 |
1.5% | -81.0% | 0.19 | 0.02 | 1.3x | 199 | 50% |
| Buy and hold | 7.7% | -83.4% | 0.39 | 0.09 | 4.3x | 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, 24-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)