Trend-Following Backtester · Guide · backtest 한국어
equity · US
Advanced Drainage Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Advanced Drainage Systems, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.9%, MDD -37.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.2%, drawdown -53.7%).
Sharpe leader (same as main): Supertrend — CAGR 18.9%, MDD -37.4%, Sharpe 0.74, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 16.3%p (CAGR 18.9%, MDD -37.4%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.7 |
18.9% | -37.4% | 0.74 | 0.51 | 8.1x | 33 | 61% |
| Donchian 채널 돌파 entryN=63, exitN=51 |
12.5% | -38.5% | 0.59 | 0.32 | 4.2x | 22 | 52% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=24, mult=2.6 |
9.8% | -39.3% | 0.52 | 0.25 | 3.1x | 44 | 45% |
| EMA 크로스오버 fast=21, slow=43 |
11.3% | -45.5% | 0.51 | 0.25 | 3.6x | 62 | 61% |
| SMA 크로스오버 fast=7, slow=97 |
11.0% | -43.0% | 0.51 | 0.26 | 3.5x | 50 | 59% |
| ROC 모멘텀 n=112, threshold=-0.02 |
5.6% | -59.4% | 0.33 | 0.10 | 1.9x | 101 | 63% |
| ADX / DI 방향성 period=35, threshold=20 |
3.8% | -43.5% | 0.31 | 0.09 | 1.6x | 28 | 17% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
1.9% | -55.5% | 0.20 | 0.03 | 1.3x | 78 | 45% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.1% | -63.5% | 0.15 | 0.00 | 1.0x | 168 | 57% |
| MACD fast=19, slow=23, signal=19 |
-1.7% | -65.6% | 0.07 | -0.03 | 0.8x | 156 | 49% |
| Buy and hold | 19.2% | -53.7% | 0.63 | 0.36 | 8.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)