Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alphatec Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alphatec Holdings, 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 7.9%, MDD -31.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.1%, drawdown -98.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.9%, MDD -31.9%, Sharpe 0.46, 12% exposure.
CAGR reference leader: Parabolic SAR — CAGR 10.7%, MDD -67.7%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.0%p higher than buy and hold, while drawdown improves by 66.9%p (CAGR 7.9%, MDD -31.9%, exposure 12%).
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=17, threshold=31 |
7.9% | -31.9% | 0.46 | 0.25 | 4.6x | 58 | 12% |
| Parabolic SAR step=0.01, maxStep=0.16 |
10.7% | -67.7% | 0.45 | 0.16 | 7.8x | 255 | 47% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=11, mult=3.9 |
6.8% | -44.4% | 0.40 | 0.15 | 3.8x | 22 | 12% |
| SMA 크로스오버 fast=51, slow=77 |
7.9% | -85.7% | 0.39 | 0.09 | 4.6x | 64 | 50% |
| Supertrend period=25, mult=4.3 |
7.9% | -73.4% | 0.39 | 0.11 | 4.6x | 56 | 45% |
| ROC 모멘텀 n=92, threshold=0.1 |
6.4% | -81.1% | 0.35 | 0.08 | 3.5x | 166 | 37% |
| EMA 크로스오버 fast=21, slow=50 |
5.6% | -87.8% | 0.34 | 0.06 | 3.0x | 72 | 46% |
| Donchian 채널 돌파 entryN=22, exitN=52 |
1.4% | -91.2% | 0.30 | 0.02 | 1.3x | 55 | 67% |
| 볼린저 밴드 돌파 n=55, k=1 |
2.8% | -78.5% | 0.27 | 0.04 | 1.7x | 119 | 39% |
| MACD fast=8, slow=30, signal=6 |
-5.0% | -95.8% | 0.17 | -0.05 | 0.4x | 507 | 52% |
| Buy and hold | -11.1% | -98.8% | 0.20 | -0.11 | 0.1x | 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, 17-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)