Trend-Following Backtester · Guide · backtest 한국어
equity · US
FuboTV Inc. backtest
10 trend-following strategies were compared on the full daily history of FuboTV Inc.. 9 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 13.1%, MDD -70.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -28.0%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.1%, MDD -70.9%, Sharpe 0.47, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 41.1%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 13.1%, MDD -70.9%, exposure 50%).
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=28, threshold=5 |
13.1% | -70.9% | 0.47 | 0.19 | 2.5x | 81 | 50% |
| Supertrend period=26, mult=2.9 |
6.1% | -81.9% | 0.40 | 0.07 | 1.6x | 47 | 32% |
| Donchian 채널 돌파 entryN=18, exitN=33 |
2.2% | -84.3% | 0.40 | 0.03 | 1.2x | 23 | 53% |
| SMA 크로스오버 fast=40, slow=162 |
5.7% | -84.3% | 0.37 | 0.07 | 1.5x | 10 | 43% |
| ROC 모멘텀 n=138, threshold=-0.02 |
0.6% | -74.1% | 0.34 | 0.01 | 1.0x | 46 | 45% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-7.2% | -90.3% | 0.28 | -0.08 | 0.6x | 145 | 41% |
| EMA 크로스오버 fast=32, slow=55 |
-9.5% | -90.9% | 0.17 | -0.10 | 0.5x | 28 | 45% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
-9.5% | -91.0% | 0.16 | -0.10 | 0.5x | 43 | 32% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=0.9 |
-16.4% | -89.4% | 0.01 | -0.18 | 0.3x | 73 | 31% |
| MACD fast=10, slow=38, signal=6 |
-37.6% | -98.2% | -0.03 | -0.38 | 0.0x | 181 | 50% |
| Buy and hold | -28.0% | -98.9% | 0.25 | -0.28 | 0.1x | 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, 28-day) is ≥ 5
- Sell — Sell when direction flips or the trend weakens (ADX < 5)