Trend-Following Backtester · Guide · backtest 한국어
equity · US
BILL Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of BILL Holdings, 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 14.6%, MDD -33.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.9%, drawdown -90.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.6%, MDD -33.9%, Sharpe 0.67, 16% exposure.
CAGR reference leader: MACD — CAGR 21.2%, MDD -66.7%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 56.7%p (CAGR 14.6%, MDD -33.9%, exposure 16%).
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=6, threshold=43 |
14.6% | -33.9% | 0.67 | 0.43 | 2.5x | 64 | 16% |
| MACD fast=12, slow=19, signal=14 |
21.2% | -66.7% | 0.63 | 0.32 | 3.6x | 100 | 51% |
| EMA 크로스오버 fast=41, slow=65 |
19.1% | -62.0% | 0.62 | 0.31 | 3.2x | 15 | 45% |
| SMA 크로스오버 fast=15, slow=82 |
17.6% | -55.7% | 0.59 | 0.32 | 3.0x | 23 | 45% |
| Donchian 채널 돌파 entryN=54, exitN=27 |
15.4% | -46.0% | 0.58 | 0.33 | 2.6x | 17 | 35% |
| 볼린저 밴드 돌파 n=44, k=2.8 |
12.0% | -34.0% | 0.55 | 0.35 | 2.1x | 12 | 19% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=25, mult=3.3 |
11.5% | -43.0% | 0.51 | 0.27 | 2.1x | 19 | 24% |
| ROC 모멘텀 n=70, threshold=0.08 |
13.3% | -60.1% | 0.51 | 0.22 | 2.3x | 59 | 39% |
| Parabolic SAR step=0.01, maxStep=0.12 |
12.2% | -62.3% | 0.48 | 0.20 | 2.2x | 86 | 48% |
| Supertrend period=17, mult=3.3 |
6.2% | -79.7% | 0.36 | 0.08 | 1.5x | 41 | 46% |
| Buy and hold | 4.9% | -90.7% | 0.42 | 0.05 | 1.4x | 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, 6-day) is ≥ 43
- Sell — Sell when direction flips or the trend weakens (ADX < 43)