Trend-Following Backtester · Guide · backtest 한국어
equity · US
Entravision Communications Corporation backtest
10 trend-following strategies were compared on the full daily history of Entravision Communications Corporation. 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 16.9%, MDD -34.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.3%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.9%, MDD -34.1%, Sharpe 0.67, 11% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 17.0%, MDD -34.7%, exposure 16%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.1%p higher than buy and hold, while drawdown improves by 65.2%p (CAGR 16.9%, MDD -34.1%, exposure 11%).
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=22, threshold=28 |
16.9% | -34.1% | 0.67 | 0.49 | 58.2x | 44 | 11% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=16, mult=3.9 |
17.0% | -34.7% | 0.64 | 0.49 | 59.6x | 30 | 16% |
| 볼린저 밴드 돌파 n=62, k=3.5 |
12.4% | -42.6% | 0.61 | 0.29 | 21.2x | 22 | 14% |
| ROC 모멘텀 n=101, threshold=0.22 |
13.9% | -71.0% | 0.53 | 0.20 | 29.7x | 163 | 22% |
| Donchian 채널 돌파 entryN=113, exitN=17 |
12.7% | -58.5% | 0.53 | 0.22 | 22.9x | 44 | 17% |
| MACD fast=10, slow=28, signal=16 |
6.8% | -94.8% | 0.36 | 0.07 | 5.6x | 390 | 51% |
| SMA 크로스오버 fast=58, slow=211 |
6.8% | -70.8% | 0.35 | 0.10 | 5.6x | 35 | 40% |
| EMA 크로스오버 fast=54, slow=111 |
4.4% | -75.6% | 0.28 | 0.06 | 3.0x | 47 | 40% |
| Parabolic SAR step=0.02, maxStep=0.16 |
1.3% | -94.0% | 0.26 | 0.01 | 1.4x | 514 | 50% |
| Supertrend period=28, mult=4.4 |
-3.1% | -93.5% | 0.14 | -0.03 | 0.4x | 90 | 52% |
| Buy and hold | -3.3% | -99.3% | 0.32 | -0.03 | 0.4x | 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, 22-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)