Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cactus, Inc. Class A Common Stock backtest
10 trend-following strategies were compared on the full daily history of Cactus, Inc. Class A Common Stock. 4 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.7%, MDD -41.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.6%, drawdown -79.2%).
Sharpe leader (same as main): MACD — CAGR 26.2%, MDD -41.7%, Sharpe 0.82, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 25.7%, MDD -41.2%, exposure 85%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=45, signal=14 |
26.2% | -41.7% | 0.82 | 0.63 | 7.3x | 124 | 48% |
| Donchian 채널 돌파 entryN=9, exitN=77 |
25.7% | -41.2% | 0.74 | 0.62 | 7.1x | 25 | 85% |
| Supertrend period=11, mult=2.3 |
19.9% | -47.6% | 0.69 | 0.42 | 4.7x | 80 | 55% |
| Parabolic SAR step=0.015, maxStep=0.12 |
18.2% | -44.6% | 0.64 | 0.41 | 4.2x | 146 | 51% |
| ADX / DI 방향성 period=10, threshold=18 |
14.5% | -33.2% | 0.58 | 0.44 | 3.2x | 167 | 46% |
| SMA 크로스오버 fast=9, slow=26 |
12.8% | -40.7% | 0.52 | 0.31 | 2.8x | 87 | 55% |
| ROC 모멘텀 n=16, threshold=-0.04 |
10.2% | -56.0% | 0.44 | 0.18 | 2.3x | 179 | 68% |
| EMA 크로스오버 fast=4, slow=211 |
8.0% | -44.0% | 0.40 | 0.18 | 1.9x | 35 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.2 |
3.6% | -53.5% | 0.27 | 0.07 | 1.3x | 114 | 44% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=2.6 |
0.0% | -39.0% | 0.11 | 0.00 | 1.0x | 35 | 24% |
| Buy and hold | 15.6% | -79.2% | 0.54 | 0.20 | 3.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/45) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line