Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gray Media, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gray Media, 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 8.6%, MDD -33.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.4%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.6%, MDD -33.3%, Sharpe 0.54, 5% exposure.
CAGR reference leader: Supertrend — CAGR 10.5%, MDD -73.0%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 65.6%p (CAGR 8.6%, MDD -33.3%, exposure 5%).
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=8, threshold=53 |
8.6% | -33.3% | 0.54 | 0.26 | 7.2x | 58 | 5% |
| Supertrend period=11, mult=3.4 |
10.5% | -73.0% | 0.44 | 0.14 | 10.9x | 122 | 49% |
| MACD fast=17, slow=29, signal=19 |
10.3% | -91.4% | 0.44 | 0.11 | 10.3x | 245 | 51% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=21, mult=1.2 |
9.3% | -70.2% | 0.42 | 0.13 | 8.3x | 220 | 34% |
| Parabolic SAR step=0.01, maxStep=0.38 |
9.2% | -80.2% | 0.41 | 0.11 | 8.2x | 307 | 50% |
| ROC 모멘텀 n=118, threshold=-0.03 |
8.9% | -73.0% | 0.40 | 0.12 | 7.6x | 184 | 50% |
| 볼린저 밴드 돌파 n=35, k=3.2 |
7.3% | -54.3% | 0.40 | 0.13 | 5.3x | 38 | 11% |
| Donchian 채널 돌파 entryN=83, exitN=79 |
5.1% | -84.9% | 0.32 | 0.06 | 3.3x | 36 | 47% |
| SMA 크로스오버 fast=58, slow=219 |
1.8% | -89.9% | 0.25 | 0.02 | 1.5x | 32 | 46% |
| EMA 크로스오버 fast=28, slow=131 |
1.7% | -82.7% | 0.23 | 0.02 | 1.5x | 48 | 46% |
| Buy and hold | -4.4% | -98.9% | 0.28 | -0.04 | 0.3x | 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, 8-day) is ≥ 53
- Sell — Sell when direction flips or the trend weakens (ADX < 53)