Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cricut, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cricut, Inc.. 9 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 5.9%, MDD -33.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -22.3%, drawdown -91.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.9%, MDD -33.3%, Sharpe 0.33, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.2%p higher than buy and hold, while drawdown improves by 57.9%p (CAGR 5.9%, MDD -33.3%, exposure 10%).
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=18, threshold=26 |
5.9% | -33.3% | 0.33 | 0.18 | 1.4x | 16 | 10% |
| Supertrend period=20, mult=3.1 |
4.1% | -58.3% | 0.29 | 0.07 | 1.2x | 27 | 28% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=19, mult=1.9 |
0.2% | -48.6% | 0.16 | 0.00 | 1.0x | 24 | 14% |
| 볼린저 밴드 돌파 n=33, k=2.1 |
-1.8% | -41.4% | 0.11 | -0.04 | 0.9x | 23 | 16% |
| SMA 크로스오버 fast=54, slow=177 |
-2.2% | -57.1% | 0.10 | -0.04 | 0.9x | 6 | 32% |
| ROC 모멘텀 n=10, threshold=0.13 |
-0.8% | -49.9% | 0.08 | -0.02 | 1.0x | 62 | 10% |
| Donchian 채널 돌파 entryN=65, exitN=21 |
-4.5% | -50.9% | 0.00 | -0.09 | 0.8x | 11 | 14% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-21.2% | -84.3% | -0.29 | -0.25 | 0.3x | 135 | 46% |
| MACD fast=7, slow=26, signal=6 |
-24.7% | -86.6% | -0.41 | -0.29 | 0.2x | 151 | 50% |
| EMA 크로스오버 fast=13, slow=195 |
-13.3% | -64.6% | -0.64 | -0.21 | 0.5x | 8 | 11% |
| Buy and hold | -22.3% | -91.2% | -0.07 | -0.24 | 0.3x | 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, 18-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)