Trend-Following Backtester · Guide · backtest 한국어
equity · US
Robo.ai Inc. backtest
10 trend-following strategies were compared on the full daily history of Robo.ai Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 33.5%, MDD -63.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -48.3%, drawdown -99.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 39.6%, MDD -71.8%, Sharpe 0.74, 38% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 87.9%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 33.5%, MDD -63.5%, exposure 15%).
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=9, threshold=26 |
39.6% | -71.8% | 0.74 | 0.55 | 8.3x | 82 | 38% |
| ROC 모멘텀 n=9, threshold=0.08 |
33.5% | -63.5% | 0.69 | 0.53 | 6.3x | 80 | 15% |
| Supertrend period=23, mult=2.2 |
33.7% | -68.0% | 0.67 | 0.50 | 6.4x | 48 | 39% |
| 볼린저 밴드 돌파 n=23, k=2.2 |
30.8% | -63.7% | 0.65 | 0.48 | 5.5x | 34 | 24% |
| Parabolic SAR step=0.025, maxStep=0.34 |
21.2% | -78.2% | 0.60 | 0.27 | 3.4x | 122 | 45% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=25, mult=1.1 |
20.3% | -72.1% | 0.57 | 0.28 | 3.2x | 48 | 25% |
| SMA 크로스오버 fast=6, slow=21 |
9.9% | -78.2% | 0.51 | 0.13 | 1.8x | 80 | 42% |
| EMA 크로스오버 fast=10, slow=12 |
7.5% | -81.2% | 0.48 | 0.09 | 1.6x | 68 | 43% |
| MACD fast=12, slow=30, signal=14 |
-14.2% | -95.0% | 0.36 | -0.15 | 0.4x | 92 | 50% |
| Donchian 채널 돌파 entryN=15, exitN=79 |
-14.4% | -96.5% | 0.34 | -0.15 | 0.4x | 19 | 76% |
| Buy and hold | -48.3% | -99.8% | 0.16 | -0.48 | 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, 9-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)