Trend-Following Backtester · Guide · backtest 한국어
equity · US
Allient Inc. backtest
10 trend-following strategies were compared on the full daily history of Allient Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -92.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -26.6%, Sharpe 0.45, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -96.3%, exposure 75%.
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=39, threshold=39 |
4.1% | -26.6% | 0.45 | 0.15 | 6.2x | 6 | 5% |
| Donchian 채널 돌파 entryN=22, exitN=78 |
6.7% | -96.3% | 0.42 | 0.07 | 19.6x | 117 | 75% |
| Supertrend period=14, mult=4.7 |
6.1% | -97.2% | 0.38 | 0.06 | 15.1x | 139 | 57% |
| SMA 크로스오버 fast=45, slow=89 |
5.4% | -89.9% | 0.35 | 0.06 | 11.1x | 139 | 55% |
| EMA 크로스오버 fast=27, slow=55 |
3.9% | -93.4% | 0.33 | 0.04 | 5.7x | 185 | 54% |
| Parabolic SAR step=0.005, maxStep=0.3 |
2.2% | -95.3% | 0.29 | 0.02 | 2.7x | 319 | 51% |
| ROC 모멘텀 n=135, threshold=0.14 |
-1.3% | -99.1% | 0.20 | -0.01 | 0.5x | 481 | 41% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
-0.7% | -90.4% | 0.15 | -0.01 | 0.7x | 98 | 20% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=4 |
0.3% | -69.6% | 0.11 | 0.00 | 1.1x | 36 | 2% |
| MACD fast=18, slow=44, signal=17 |
-11.0% | -100.0% | 0.07 | -0.11 | 0.0x | 614 | 49% |
| Buy and hold | 10.8% | -92.5% | 0.51 | 0.12 | 110.8x | 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, 39-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)