Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alto Ingredients, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alto Ingredients, 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 18.6%, MDD -63.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -22.2%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 21.6%, MDD -66.0%, Sharpe 0.64, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 43.8%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 18.6%, MDD -63.0%, exposure 9%).
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=20, threshold=32 |
21.6% | -66.0% | 0.64 | 0.33 | 65.4x | 32 | 10% |
| Donchian 채널 돌파 entryN=155, exitN=13 |
17.6% | -76.0% | 0.58 | 0.23 | 31.9x | 26 | 10% |
| EMA 크로스오버 fast=74, slow=131 |
18.7% | -81.6% | 0.58 | 0.23 | 38.6x | 15 | 25% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=3.7 |
18.6% | -63.0% | 0.57 | 0.29 | 37.9x | 28 | 9% |
| SMA 크로스오버 fast=38, slow=124 |
16.2% | -85.8% | 0.54 | 0.19 | 24.9x | 39 | 34% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
16.5% | -87.8% | 0.53 | 0.19 | 25.9x | 54 | 13% |
| ROC 모멘텀 n=115, threshold=-0.03 |
11.2% | -93.3% | 0.48 | 0.12 | 9.7x | 197 | 36% |
| MACD fast=16, slow=22, signal=16 |
-4.9% | -98.6% | 0.33 | -0.05 | 0.3x | 292 | 52% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-1.3% | -96.5% | 0.33 | -0.01 | 0.8x | 246 | 42% |
| Supertrend period=10, mult=4.9 |
-4.2% | -97.2% | 0.30 | -0.04 | 0.4x | 63 | 47% |
| Buy and hold | -22.2% | -100.0% | 0.25 | -0.22 | 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, 20-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)