Trend-Following Backtester · Guide · backtest 한국어
equity · US
Advantage Solutions Inc. backtest
10 trend-following strategies were compared on the full daily history of Advantage Solutions Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.5%, MDD -23.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -25.0%, drawdown -96.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.7%, MDD -30.2%, Sharpe 0.77, 31% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 49.7%p higher than buy and hold, while drawdown improves by 66.1%p (CAGR 3.5%, MDD -23.3%, exposure 13%).
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=36, threshold=14 |
24.7% | -30.2% | 0.77 | 0.82 | 4.3x | 34 | 31% |
| ROC 모멘텀 n=24, threshold=0.23 |
9.7% | -39.8% | 0.48 | 0.24 | 1.8x | 50 | 12% |
| MACD fast=19, slow=75, signal=7 |
9.3% | -57.9% | 0.43 | 0.16 | 1.8x | 82 | 48% |
| Supertrend period=8, mult=4 |
4.0% | -70.5% | 0.31 | 0.06 | 1.3x | 27 | 47% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=15, mult=3.7 |
3.5% | -23.3% | 0.27 | 0.15 | 1.3x | 8 | 13% |
| EMA 크로스오버 fast=6, slow=125 |
3.1% | -50.2% | 0.25 | 0.06 | 1.2x | 17 | 32% |
| SMA 크로스오버 fast=69, slow=291 |
2.4% | -53.1% | 0.23 | 0.05 | 1.2x | 5 | 27% |
| 볼린저 밴드 돌파 n=27, k=0.9 |
-0.1% | -68.0% | 0.20 | -0.00 | 1.0x | 77 | 37% |
| Donchian 채널 돌파 entryN=72, exitN=31 |
-0.1% | -49.7% | 0.15 | -0.00 | 1.0x | 13 | 21% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-10.1% | -82.3% | -0.03 | -0.12 | 0.5x | 133 | 49% |
| Buy and hold | -25.0% | -96.3% | -0.13 | -0.26 | 0.2x | 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, 36-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)