Trend-Following Backtester · Guide · backtest 한국어
equity · US
DigitalBridge Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of DigitalBridge Group, 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 4.6%, MDD -13.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.1%, drawdown -94.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -13.6%, Sharpe 0.53, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.4%, MDD -25.3%, exposure 9%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 80.7%p (CAGR 4.6%, MDD -13.6%, exposure 9%).
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=31, threshold=22 |
4.6% | -13.6% | 0.53 | 0.34 | 1.7x | 12 | 9% |
| ROC 모멘텀 n=15, threshold=0.14 |
6.4% | -25.3% | 0.40 | 0.25 | 2.1x | 98 | 9% |
| SMA 크로스오버 fast=35, slow=204 |
5.2% | -44.8% | 0.32 | 0.12 | 1.9x | 15 | 35% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=10, mult=3.9 |
3.6% | -48.5% | 0.29 | 0.07 | 1.5x | 19 | 25% |
| EMA 크로스오버 fast=38, slow=108 |
1.5% | -61.6% | 0.18 | 0.02 | 1.2x | 19 | 38% |
| Supertrend period=17, mult=5 |
-0.1% | -65.2% | 0.13 | -0.00 | 1.0x | 31 | 43% |
| 볼린저 밴드 돌파 n=51, k=2.1 |
0.3% | -42.8% | 0.12 | 0.01 | 1.0x | 41 | 26% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-1.7% | -79.7% | 0.11 | -0.02 | 0.8x | 303 | 50% |
| Donchian 채널 돌파 entryN=106, exitN=31 |
-0.1% | -52.4% | 0.09 | -0.00 | 1.0x | 19 | 25% |
| MACD fast=9, slow=49, signal=13 |
-3.1% | -82.1% | 0.09 | -0.04 | 0.7x | 195 | 51% |
| Buy and hold | -12.1% | -94.3% | -0.00 | -0.13 | 0.2x | 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, 31-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)