Trend-Following Backtester · Guide · backtest 한국어
equity · US
Encore Capital Group Inc backtest
10 trend-following strategies were compared on the full daily history of Encore Capital Group 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 12.4%, MDD -34.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.9%, drawdown -97.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.4%, MDD -34.4%, Sharpe 0.66, 11% exposure.
CAGR reference leader: MACD — CAGR 14.3%, MDD -84.7%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 63.5%p (CAGR 12.4%, MDD -34.4%, exposure 11%).
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=38, threshold=25 |
12.4% | -34.4% | 0.66 | 0.36 | 23.4x | 17 | 11% |
| MACD fast=18, slow=38, signal=24 |
14.3% | -84.7% | 0.50 | 0.17 | 36.9x | 259 | 49% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=26, mult=3.6 |
12.6% | -63.6% | 0.50 | 0.20 | 24.6x | 57 | 35% |
| EMA 크로스오버 fast=11, slow=44 |
12.8% | -80.2% | 0.49 | 0.16 | 25.9x | 163 | 55% |
| 볼린저 밴드 돌파 n=32, k=2.9 |
10.0% | -51.7% | 0.48 | 0.19 | 13.2x | 82 | 18% |
| Donchian 채널 돌파 entryN=32, exitN=68 |
12.4% | -80.2% | 0.47 | 0.16 | 23.8x | 75 | 68% |
| SMA 크로스오버 fast=19, slow=98 |
12.0% | -71.9% | 0.46 | 0.17 | 21.7x | 89 | 55% |
| Parabolic SAR step=0.01, maxStep=0.26 |
9.6% | -79.9% | 0.42 | 0.12 | 12.0x | 341 | 50% |
| Supertrend period=28, mult=3 |
9.3% | -83.5% | 0.41 | 0.11 | 11.1x | 185 | 51% |
| ROC 모멘텀 n=145, threshold=0.07 |
8.9% | -78.5% | 0.41 | 0.11 | 10.0x | 223 | 45% |
| Buy and hold | 8.9% | -97.8% | 0.47 | 0.09 | 10.0x | 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, 38-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)