Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tenable Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tenable Holdings, Inc.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.6%, MDD -20.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.9%, drawdown -74.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -35.3%, Sharpe 0.26, 9% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 1.6%, MDD -20.5%, exposure 3%).
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=37, threshold=15 |
2.8% | -35.3% | 0.26 | 0.08 | 1.3x | 17 | 9% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=3.9 |
1.6% | -20.5% | 0.20 | 0.08 | 1.1x | 4 | 3% |
| Supertrend period=27, mult=4 |
1.0% | -55.9% | 0.19 | 0.02 | 1.1x | 32 | 43% |
| SMA 크로스오버 fast=54, slow=113 |
-1.2% | -51.1% | 0.13 | -0.02 | 0.9x | 19 | 44% |
| Donchian 채널 돌파 entryN=105, exitN=22 |
-2.3% | -52.8% | 0.02 | -0.04 | 0.8x | 19 | 23% |
| EMA 크로스오버 fast=9, slow=34 |
-4.8% | -73.6% | 0.01 | -0.07 | 0.7x | 61 | 48% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-5.3% | -81.0% | 0.00 | -0.06 | 0.6x | 166 | 50% |
| ROC 모멘텀 n=93, threshold=-0.11 |
-7.7% | -67.7% | -0.02 | -0.11 | 0.5x | 75 | 66% |
| 볼린저 밴드 돌파 n=17, k=1.9 |
-4.0% | -68.6% | -0.04 | -0.06 | 0.7x | 88 | 30% |
| MACD fast=15, slow=66, signal=15 |
-11.2% | -84.4% | -0.18 | -0.13 | 0.4x | 100 | 52% |
| Buy and hold | 0.9% | -74.4% | 0.26 | 0.01 | 1.1x | 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, 37-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)