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, 24-day) is ≥ 9
- Sell — Sell when direction flips or the trend weakens (ADX < 9)
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=24, threshold=9 |
63.1% | 42.7% | -53.3% | -86.8% | 1.39 | 137 | 48% |
| Ethereum period=16, threshold=1 |
83.2% | 28.7% | -43.1% | -95.6% | 1.41 | 170 | 47% |
| XRP (Ripple) period=8, threshold=37 |
107.8% | 26.8% | -55.7% | -95.9% | 1.32 | 128 | 24% |
| Samsung Electronics period=34, threshold=23 |
5.9% | 14.2% | -40.2% | -64.8% | 0.47 | 20 | 9% |
| Apple (AAPL) period=88, threshold=7 |
13.7% | 18.8% | -77.8% | -82.2% | 0.60 | 265 | 51% |
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.