Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hyperscale Data, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hyperscale Data, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -52.9%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.0%, MDD -82.1%, Sharpe 0.24, 9% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=51, threshold=30 |
2.0% | -82.1% | 0.24 | 0.02 | 1.8x | 12 | 9% |
| SMA 크로스오버 fast=34, slow=211 |
-6.7% | -97.6% | 0.23 | -0.07 | 0.1x | 44 | 32% |
| EMA 크로스오버 fast=58, slow=78 |
-11.9% | -98.9% | 0.13 | -0.12 | 0.0x | 60 | 32% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-20.2% | -100.0% | 0.11 | -0.20 | 0.0x | 182 | 37% |
| ROC 모멘텀 n=119, threshold=-0.03 |
-20.2% | -100.0% | 0.11 | -0.20 | 0.0x | 286 | 38% |
| 볼린저 밴드 돌파 n=20, k=2.6 |
-14.4% | -99.4% | 0.09 | -0.14 | 0.0x | 156 | 14% |
| Donchian 채널 돌파 entryN=71, exitN=71 |
-23.3% | -100.0% | 0.04 | -0.23 | 0.0x | 46 | 39% |
| Supertrend period=9, mult=4.8 |
-32.5% | -100.0% | 0.03 | -0.33 | 0.0x | 98 | 46% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=8, mult=2.2 |
-14.8% | -99.7% | 0.02 | -0.15 | 0.0x | 104 | 17% |
| MACD fast=16, slow=37, signal=15 |
-57.3% | -100.0% | -0.32 | -0.57 | 0.0x | 406 | 55% |
| Buy and hold | -52.9% | -100.0% | 0.09 | -0.53 | 0.0x | 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, 51-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)