Trend-Following Backtester · Guide · backtest 한국어
equity · US
Snap Inc. backtest
10 trend-following strategies were compared on the full daily history of Snap 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 14.7%, MDD -38.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -14.5%, drawdown -95.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.7%, MDD -38.8%, Sharpe 0.63, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 29.2%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 14.7%, MDD -38.8%, exposure 18%).
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=31, threshold=18 |
14.7% | -38.8% | 0.63 | 0.38 | 3.7x | 30 | 18% |
| EMA 크로스오버 fast=8, slow=277 |
12.0% | -53.6% | 0.51 | 0.22 | 2.9x | 8 | 31% |
| ROC 모멘텀 n=128, threshold=0.02 |
13.0% | -59.1% | 0.50 | 0.22 | 3.2x | 61 | 39% |
| MACD fast=19, slow=45, signal=19 |
7.1% | -87.0% | 0.38 | 0.08 | 1.9x | 87 | 52% |
| 볼린저 밴드 돌파 n=45, k=1.7 |
7.0% | -57.4% | 0.37 | 0.12 | 1.9x | 43 | 29% |
| SMA 크로스오버 fast=7, slow=208 |
6.6% | -63.7% | 0.36 | 0.10 | 1.8x | 20 | 36% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=29, mult=3.2 |
4.3% | -58.6% | 0.30 | 0.07 | 1.5x | 25 | 23% |
| Donchian 채널 돌파 entryN=24, exitN=49 |
1.2% | -82.2% | 0.28 | 0.01 | 1.1x | 31 | 57% |
| Supertrend period=17, mult=4.6 |
-4.0% | -85.1% | 0.15 | -0.05 | 0.7x | 37 | 51% |
| Parabolic SAR step=0.05, maxStep=0.26 |
-24.0% | -94.7% | -0.31 | -0.25 | 0.1x | 337 | 47% |
| Buy and hold | -14.5% | -95.3% | 0.14 | -0.15 | 0.2x | 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, 31-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)