Trend-Following Backtester · Guide · backtest 한국어
equity · US
AtaiBeckley Inc. backtest
10 trend-following strategies were compared on the full daily history of AtaiBeckley Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.8%, MDD -17.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.8%, drawdown -94.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.8%, MDD -17.1%, Sharpe 0.72, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.2%, MDD -57.8%, exposure 33%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 32.6%p higher than buy and hold, while drawdown improves by 77.6%p (CAGR 14.8%, MDD -17.1%, exposure 7%).
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=20, threshold=34 |
14.8% | -17.1% | 0.72 | 0.87 | 2.0x | 5 | 7% |
| SMA 크로스오버 fast=59, slow=197 |
23.1% | -53.0% | 0.65 | 0.44 | 2.9x | 5 | 31% |
| Donchian 채널 돌파 entryN=76, exitN=63 |
23.2% | -57.8% | 0.64 | 0.40 | 2.9x | 5 | 33% |
| 볼린저 밴드 돌파 n=36, k=3.4 |
15.4% | -41.2% | 0.56 | 0.37 | 2.1x | 9 | 15% |
| Parabolic SAR step=0.015, maxStep=0.2 |
17.7% | -62.0% | 0.56 | 0.29 | 2.3x | 83 | 43% |
| ROC 모멘텀 n=60, threshold=0.03 |
13.2% | -58.7% | 0.49 | 0.23 | 1.9x | 53 | 37% |
| EMA 크로스오버 fast=50, slow=159 |
13.0% | -57.6% | 0.49 | 0.23 | 1.9x | 7 | 32% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=22, mult=0.9 |
12.9% | -44.1% | 0.48 | 0.29 | 1.9x | 47 | 31% |
| Supertrend period=9, mult=4.1 |
1.5% | -75.5% | 0.32 | 0.02 | 1.1x | 17 | 47% |
| MACD fast=10, slow=59, signal=10 |
-3.6% | -60.1% | 0.24 | -0.06 | 0.8x | 87 | 50% |
| Buy and hold | -17.8% | -94.8% | 0.19 | -0.19 | 0.4x | 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, 20-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)