Trend-Following Backtester · Guide · backtest 한국어
equity · US
GoDaddy Inc. backtest
10 trend-following strategies were compared on the full daily history of GoDaddy Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.9%, drawdown -65.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -9.8%, Sharpe 0.66, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.1%, MDD -60.9%, exposure 62%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=38, threshold=27 |
3.5% | -9.8% | 0.66 | 0.36 | 1.5x | 8 | 7% |
| ROC 모멘텀 n=250, threshold=0.12 |
8.0% | -40.5% | 0.49 | 0.20 | 2.4x | 74 | 48% |
| SMA 크로스오버 fast=46, slow=155 |
8.1% | -60.9% | 0.43 | 0.13 | 2.4x | 19 | 62% |
| Donchian 채널 돌파 entryN=16, exitN=76 |
7.3% | -57.9% | 0.38 | 0.13 | 2.2x | 29 | 83% |
| EMA 크로스오버 fast=78, slow=277 |
6.4% | -57.5% | 0.38 | 0.11 | 2.0x | 12 | 62% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
2.5% | -34.2% | 0.27 | 0.07 | 1.3x | 14 | 18% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=4 |
2.4% | -36.9% | 0.24 | 0.07 | 1.3x | 24 | 25% |
| Supertrend period=13, mult=2.9 |
1.6% | -46.4% | 0.19 | 0.03 | 1.2x | 83 | 58% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.9% | -56.7% | -0.09 | -0.09 | 0.6x | 199 | 55% |
| MACD fast=18, slow=57, signal=19 |
-5.1% | -64.8% | -0.11 | -0.08 | 0.5x | 129 | 51% |
| Buy and hold | 14.9% | -65.0% | 0.56 | 0.23 | 4.9x | 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, 38-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)