Trend-Following Backtester · Guide · backtest 한국어
equity · US
Interface, Inc. backtest
10 trend-following strategies were compared on the full daily history of Interface, Inc.. 6 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 8.0%, MDD -41.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.0%, drawdown -93.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.0%, MDD -41.7%, Sharpe 0.47, 23% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.7%, MDD -68.6%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 51.6%p (CAGR 8.0%, MDD -41.7%, exposure 23%).
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=9, threshold=34 |
8.0% | -41.7% | 0.47 | 0.19 | 28.0x | 424 | 23% |
| Donchian 채널 돌파 entryN=89, exitN=81 |
9.7% | -68.6% | 0.45 | 0.14 | 54.6x | 53 | 56% |
| SMA 크로스오버 fast=10, slow=188 |
9.3% | -55.4% | 0.44 | 0.17 | 47.4x | 93 | 56% |
| Supertrend period=24, mult=5 |
8.0% | -76.9% | 0.40 | 0.10 | 27.9x | 113 | 52% |
| EMA 크로스오버 fast=50, slow=133 |
7.6% | -63.8% | 0.39 | 0.12 | 24.4x | 59 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=3.2 |
4.9% | -44.9% | 0.33 | 0.11 | 8.1x | 115 | 27% |
| 볼린저 밴드 돌파 n=39, k=2 |
5.0% | -67.0% | 0.32 | 0.07 | 8.4x | 233 | 35% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.7% | -87.3% | 0.27 | 0.04 | 4.8x | 341 | 53% |
| ROC 모멘텀 n=149, threshold=-0.03 |
3.3% | -86.2% | 0.26 | 0.04 | 4.2x | 253 | 59% |
| MACD fast=19, slow=40, signal=17 |
-0.9% | -89.8% | 0.15 | -0.01 | 0.7x | 493 | 52% |
| Buy and hold | 5.0% | -93.4% | 0.35 | 0.05 | 8.2x | 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, 9-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)