Trend-Following Backtester · Guide · backtest 한국어
equity · US
USA TODAY Co., Inc. backtest
10 trend-following strategies were compared on the full daily history of USA TODAY Co., Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -16.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.0%, drawdown -97.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.1%, MDD -57.2%, Sharpe 0.58, 31% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 3.4%, MDD -16.8%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=60, threshold=0.12 |
15.1% | -57.2% | 0.58 | 0.26 | 5.9x | 130 | 31% |
| SMA 크로스오버 fast=28, slow=131 |
14.7% | -52.4% | 0.55 | 0.28 | 5.6x | 23 | 45% |
| EMA 크로스오버 fast=41, slow=71 |
11.0% | -64.7% | 0.47 | 0.17 | 3.7x | 28 | 47% |
| Donchian 채널 돌파 entryN=74, exitN=78 |
11.1% | -62.6% | 0.46 | 0.18 | 3.7x | 16 | 47% |
| Supertrend period=14, mult=2.5 |
11.5% | -63.7% | 0.43 | 0.18 | 3.9x | 102 | 53% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
6.9% | -49.2% | 0.42 | 0.14 | 2.3x | 12 | 13% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=3.6 |
6.4% | -42.4% | 0.38 | 0.15 | 2.2x | 24 | 19% |
| ADX / DI 방향성 period=25, threshold=35 |
3.4% | -16.8% | 0.36 | 0.20 | 1.5x | 6 | 3% |
| Parabolic SAR step=0.005, maxStep=0.32 |
4.6% | -68.9% | 0.32 | 0.07 | 1.8x | 102 | 54% |
| MACD fast=12, slow=29, signal=14 |
3.7% | -74.7% | 0.30 | 0.05 | 1.6x | 190 | 51% |
| Buy and hold | -4.0% | -97.5% | 0.27 | -0.04 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 60-day return is greater than 12%
- Sell — Sell when the 60-day return drops to 12% or below