Trend-Following Backtester · Guide · backtest 한국어
equity · US
Trex Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Trex Company, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.5%, MDD -68.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -90.5%).
Sharpe leader (same as main): Supertrend — CAGR 11.5%, MDD -68.1%, Sharpe 0.48, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 22.4%p (CAGR 11.5%, MDD -68.1%, exposure 53%).
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=6, mult=3.2 |
11.5% | -68.1% | 0.48 | 0.17 | 19.5x | 184 | 53% |
| ROC 모멘텀 n=98, threshold=-0.03 |
10.8% | -74.4% | 0.46 | 0.15 | 16.6x | 207 | 64% |
| EMA 크로스오버 fast=64, slow=97 |
10.3% | -60.0% | 0.45 | 0.17 | 14.6x | 47 | 61% |
| Parabolic SAR step=0.01, maxStep=0.16 |
9.1% | -75.3% | 0.42 | 0.12 | 10.8x | 348 | 52% |
| SMA 크로스오버 fast=22, slow=187 |
8.3% | -64.5% | 0.40 | 0.13 | 8.8x | 59 | 59% |
| Donchian 채널 돌파 entryN=13, exitN=69 |
7.6% | -90.1% | 0.39 | 0.08 | 7.3x | 81 | 80% |
| MACD fast=24, slow=123, signal=17 |
5.9% | -90.9% | 0.34 | 0.07 | 4.8x | 196 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=1.4 |
2.2% | -77.6% | 0.22 | 0.03 | 1.8x | 202 | 45% |
| 볼린저 밴드 돌파 n=55, k=1.2 |
1.7% | -83.5% | 0.21 | 0.02 | 1.6x | 164 | 44% |
| ADX / DI 방향성 period=19, threshold=9 |
-0.1% | -94.8% | 0.18 | -0.00 | 1.0x | 462 | 54% |
| Buy and hold | 13.3% | -90.5% | 0.50 | 0.15 | 30.4x | 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) — 6-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)