Trend-Following Backtester · Guide · Strategies 한국어
Strategies
ADX / DI directional
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
The rules
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: period, threshold. Fewer knobs make it harder to fit noise, so a count this low keeps overfitting risk relatively contained.
Results by asset
The same strategy across 5 very different assets, each over its full history, with parameters optimized per asset. It beat buy and hold on 3 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin period=19, threshold=12 |
66.1% | 43.7% | -51.8% | -86.8% | 1.44 | 155 | 47% |
| Ethereum period=16, threshold=8 |
85.3% | 30.2% | -43.1% | -95.6% | 1.44 | 171 | 46% |
| XRP (Ripple) period=8, threshold=36 |
111.7% | 29.5% | -54.2% | -95.9% | 1.34 | 133 | 25% |
| Samsung Electronics period=35, threshold=23 |
5.4% | 15.0% | -42.6% | -64.8% | 0.44 | 22 | 8% |
| Apple (AAPL) period=40, threshold=15 |
11.2% | 18.6% | -48.9% | -82.2% | 0.60 | 198 | 30% |
When this one works
ADX / DI directional belongs to the trend-following family. All of them earn in sustained directional moves and bleed costs in range-bound markets. The trade count and time in market columns above show how each variant leans.