Trend-Following Backtester · Guide · backtest 한국어
equity · US
DXP Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of DXP Enterprises, Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.0%, MDD -68.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.3%, drawdown -95.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.0%, MDD -68.5%, Sharpe 0.61, 57% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 20.0%, MDD -68.5%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=170, threshold=0.03 |
20.0% | -68.5% | 0.61 | 0.29 | 174.2x | 159 | 57% |
| EMA 크로스오버 fast=59, slow=191 |
15.9% | -81.0% | 0.54 | 0.20 | 65.4x | 37 | 59% |
| SMA 크로스오버 fast=45, slow=202 |
14.0% | -83.3% | 0.51 | 0.17 | 41.1x | 39 | 58% |
| Donchian 채널 돌파 entryN=12, exitN=49 |
12.0% | -86.3% | 0.49 | 0.14 | 24.9x | 109 | 82% |
| Parabolic SAR step=0.015, maxStep=0.12 |
8.5% | -96.0% | 0.41 | 0.09 | 10.0x | 425 | 51% |
| MACD fast=22, slow=45, signal=18 |
6.8% | -91.5% | 0.39 | 0.07 | 6.5x | 273 | 52% |
| Supertrend period=15, mult=5 |
-3.6% | -98.6% | 0.24 | -0.04 | 0.4x | 123 | 57% |
| ADX / DI 방향성 period=28, threshold=28 |
1.2% | -49.3% | 0.16 | 0.03 | 1.4x | 48 | 8% |
| 볼린저 밴드 돌파 n=60, k=2.5 |
-3.5% | -95.6% | 0.09 | -0.04 | 0.4x | 89 | 29% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=3.1 |
-3.9% | -91.5% | 0.08 | -0.04 | 0.3x | 121 | 30% |
| Buy and hold | 14.3% | -95.5% | 0.55 | 0.15 | 44.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 170-day return is greater than 3%
- Sell — Sell when the 170-day return drops to 3% or below