Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rush Street Interactive, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rush Street Interactive, Inc.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 30.9%, MDD -31.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 16.4%, drawdown -88.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 31.3%, MDD -33.2%, Sharpe 0.97, 38% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 36.4%, MDD -61.5%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 30.9%, MDD -31.3%, exposure 37%).
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=13, threshold=23 |
31.3% | -33.2% | 0.97 | 0.94 | 5.6x | 60 | 38% |
| 볼린저 밴드 돌파 n=32, k=2.2 |
30.9% | -31.3% | 0.97 | 0.99 | 5.5x | 32 | 37% |
| Donchian 채널 돌파 entryN=37, exitN=25 |
35.0% | -40.5% | 0.97 | 0.86 | 6.7x | 22 | 51% |
| SMA 크로스오버 fast=54, slow=71 |
36.4% | -61.5% | 0.91 | 0.59 | 7.2x | 19 | 57% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=26, mult=1.9 |
25.8% | -31.7% | 0.88 | 0.81 | 4.3x | 44 | 33% |
| EMA 크로스오버 fast=48, slow=84 |
32.3% | -51.0% | 0.85 | 0.63 | 5.9x | 9 | 59% |
| Supertrend period=26, mult=3.5 |
29.0% | -45.4% | 0.85 | 0.64 | 5.0x | 32 | 48% |
| ROC 모멘텀 n=74, threshold=0.09 |
30.2% | -39.3% | 0.84 | 0.77 | 5.3x | 44 | 49% |
| MACD fast=30, slow=43, signal=17 |
8.3% | -76.0% | 0.40 | 0.11 | 1.7x | 54 | 55% |
| Parabolic SAR step=0.015, maxStep=0.22 |
7.1% | -76.4% | 0.37 | 0.09 | 1.5x | 117 | 52% |
| Buy and hold | 16.4% | -88.9% | 0.55 | 0.18 | 2.6x | 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, 13-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)