Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wayfair Inc. backtest
10 trend-following strategies were compared on the full daily history of Wayfair 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 19.3%, MDD -23.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.4%, drawdown -93.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.3%, MDD -23.3%, Sharpe 0.91, 12% exposure.
CAGR reference leader: Supertrend — CAGR 24.0%, MDD -81.4%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 69.8%p (CAGR 19.3%, MDD -23.3%, exposure 12%).
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=19, threshold=32 |
19.3% | -23.3% | 0.91 | 0.83 | 8.1x | 20 | 12% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=26, mult=1.7 |
22.1% | -55.4% | 0.71 | 0.40 | 10.7x | 81 | 33% |
| Supertrend period=33, mult=2.7 |
24.0% | -81.4% | 0.67 | 0.29 | 13.0x | 93 | 51% |
| 볼린저 밴드 돌파 n=25, k=1.9 |
17.6% | -65.2% | 0.60 | 0.27 | 6.9x | 91 | 34% |
| Donchian 채널 돌파 entryN=38, exitN=10 |
16.8% | -59.1% | 0.60 | 0.28 | 6.4x | 55 | 30% |
| Parabolic SAR step=0.015, maxStep=0.28 |
17.8% | -91.0% | 0.57 | 0.20 | 7.1x | 211 | 51% |
| MACD fast=13, slow=35, signal=17 |
15.5% | -77.5% | 0.53 | 0.20 | 5.5x | 150 | 51% |
| SMA 크로스오버 fast=21, slow=54 |
13.1% | -76.5% | 0.49 | 0.17 | 4.4x | 67 | 50% |
| ROC 모멘텀 n=59, threshold=-0.01 |
9.3% | -80.1% | 0.42 | 0.12 | 2.9x | 167 | 50% |
| EMA 크로스오버 fast=41, slow=128 |
5.4% | -69.7% | 0.34 | 0.08 | 1.9x | 25 | 52% |
| Buy and hold | 8.4% | -93.0% | 0.48 | 0.09 | 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, 19-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)