Trend-Following Backtester · Guide · backtest 한국어
equity · US
ADT Inc. backtest
10 trend-following strategies were compared on the full daily history of ADT 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 0.9%, MDD -12.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.9%, drawdown -71.1%).
Sharpe leader (same as main): Supertrend — CAGR 4.1%, MDD -49.0%, Sharpe 0.28, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 0.9%, MDD -12.4%, exposure 2%).
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=26, mult=3.4 |
4.1% | -49.0% | 0.28 | 0.08 | 1.4x | 41 | 49% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=8, mult=3.3 |
2.9% | -47.0% | 0.22 | 0.06 | 1.3x | 13 | 11% |
| ADX / DI 방향성 period=19, threshold=38 |
0.9% | -12.4% | 0.19 | 0.08 | 1.1x | 2 | 2% |
| Donchian 채널 돌파 entryN=15, exitN=16 |
0.7% | -52.0% | 0.18 | 0.01 | 1.1x | 53 | 49% |
| 볼린저 밴드 돌파 n=16, k=2.4 |
0.9% | -58.8% | 0.15 | 0.02 | 1.1x | 52 | 17% |
| ROC 모멘텀 n=45, threshold=0.14 |
-0.1% | -52.0% | 0.11 | -0.00 | 1.0x | 69 | 14% |
| EMA 크로스오버 fast=19, slow=30 |
-2.6% | -67.4% | 0.08 | -0.04 | 0.8x | 45 | 47% |
| SMA 크로스오버 fast=34, slow=190 |
-2.7% | -55.8% | 0.06 | -0.05 | 0.8x | 15 | 43% |
| MACD fast=17, slow=34, signal=12 |
-4.9% | -85.2% | 0.03 | -0.06 | 0.7x | 126 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-10.1% | -86.5% | -0.14 | -0.12 | 0.4x | 151 | 51% |
| Buy and hold | -5.9% | -71.1% | 0.10 | -0.08 | 0.6x | 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) — 26-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)