Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stagwell Inc. backtest
10 trend-following strategies were compared on the full daily history of Stagwell Inc.. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.7%, MDD -47.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -96.4%).
Sharpe leader (same as main): Supertrend — CAGR 12.3%, MDD -80.6%, Sharpe 0.51, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 5.7%, MDD -47.4%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.9 |
12.3% | -80.6% | 0.51 | 0.15 | 37.4x | 99 | 48% |
| Donchian 채널 돌파 entryN=31, exitN=24 |
10.2% | -84.2% | 0.46 | 0.12 | 20.8x | 113 | 46% |
| ADX / DI 방향성 period=24, threshold=24 |
5.7% | -47.4% | 0.39 | 0.12 | 5.7x | 98 | 17% |
| EMA 크로스오버 fast=12, slow=29 |
7.8% | -90.1% | 0.39 | 0.09 | 10.6x | 219 | 51% |
| SMA 크로스오버 fast=20, slow=35 |
8.2% | -80.2% | 0.39 | 0.10 | 11.7x | 223 | 52% |
| ROC 모멘텀 n=111, threshold=0.01 |
7.2% | -75.7% | 0.38 | 0.09 | 8.7x | 295 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=2.7 |
6.4% | -81.9% | 0.37 | 0.08 | 6.9x | 109 | 33% |
| 볼린저 밴드 돌파 n=34, k=3 |
4.8% | -57.9% | 0.36 | 0.08 | 4.3x | 68 | 14% |
| Parabolic SAR step=0.035, maxStep=0.28 |
2.2% | -89.8% | 0.24 | 0.02 | 1.9x | 865 | 50% |
| MACD fast=16, slow=33, signal=12 |
-3.3% | -94.8% | 0.11 | -0.03 | 0.4x | 447 | 51% |
| Buy and hold | 0.2% | -96.4% | 0.29 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)