Trend-Following Backtester · Guide · backtest 한국어
equity · US
DLocal Limited backtest
10 trend-following strategies were compared on the full daily history of DLocal Limited. 8 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 7.4%, MDD -22.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -13.9%, drawdown -90.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -22.6%, Sharpe 0.46, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.3%p higher than buy and hold, while drawdown improves by 67.4%p (CAGR 7.4%, MDD -22.6%, 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=21, threshold=31 |
7.4% | -22.6% | 0.46 | 0.33 | 1.5x | 6 | 10% |
| Supertrend period=23, mult=4.5 |
2.0% | -54.8% | 0.26 | 0.04 | 1.1x | 11 | 38% |
| SMA 크로스오버 fast=27, slow=113 |
2.8% | -41.2% | 0.26 | 0.07 | 1.2x | 15 | 33% |
| 볼린저 밴드 돌파 n=11, k=2.4 |
1.1% | -38.3% | 0.17 | 0.03 | 1.1x | 28 | 11% |
| EMA 크로스오버 fast=38, slow=41 |
-3.1% | -52.3% | 0.13 | -0.06 | 0.8x | 15 | 39% |
| ROC 모멘텀 n=39, threshold=0.07 |
-2.8% | -50.3% | 0.11 | -0.06 | 0.9x | 70 | 32% |
| Donchian 채널 돌파 entryN=42, exitN=40 |
-12.0% | -65.5% | -0.11 | -0.18 | 0.5x | 15 | 45% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=2.2 |
-10.6% | -49.4% | -0.19 | -0.21 | 0.6x | 21 | 23% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-26.4% | -88.5% | -0.30 | -0.30 | 0.2x | 109 | 46% |
| MACD fast=15, slow=23, signal=15 |
-23.7% | -88.8% | -0.32 | -0.27 | 0.2x | 65 | 48% |
| Buy and hold | -13.9% | -90.0% | 0.18 | -0.15 | 0.5x | 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, 21-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)