Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genius Sports Limited backtest
10 trend-following strategies were compared on the full daily history of Genius Sports Limited. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.4%, MDD -13.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.0%, drawdown -91.0%).
Sharpe leader (same as main): Supertrend — CAGR 28.4%, MDD -39.0%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.4%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 11.4%, MDD -13.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3.8 |
28.4% | -39.0% | 0.73 | 0.73 | 4.4x | 23 | 53% |
| ADX / DI 방향성 period=14, threshold=47 |
11.4% | -13.0% | 0.70 | 0.87 | 1.9x | 2 | 3% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
13.6% | -18.6% | 0.68 | 0.73 | 2.1x | 8 | 9% |
| Donchian 채널 돌파 entryN=29, exitN=76 |
23.7% | -54.8% | 0.65 | 0.43 | 3.5x | 11 | 68% |
| SMA 크로스오버 fast=12, slow=42 |
18.3% | -44.3% | 0.59 | 0.41 | 2.7x | 41 | 49% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=1.6 |
14.6% | -38.6% | 0.55 | 0.38 | 2.2x | 41 | 29% |
| ROC 모멘텀 n=28, threshold=0.04 |
15.8% | -54.9% | 0.55 | 0.29 | 2.4x | 105 | 42% |
| EMA 크로스오버 fast=7, slow=34 |
11.3% | -62.9% | 0.46 | 0.18 | 1.9x | 47 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.3% | -70.8% | 0.34 | 0.07 | 1.4x | 53 | 47% |
| MACD fast=36, slow=49, signal=16 |
3.3% | -81.0% | 0.32 | 0.04 | 1.2x | 37 | 54% |
| Buy and hold | -5.0% | -91.0% | 0.28 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)