Trend-Following Backtester · Guide · backtest 한국어
equity · US
Anterix Inc. backtest
10 trend-following strategies were compared on the full daily history of Anterix Inc.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.4%, MDD -18.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -72.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.4%, MDD -18.5%, Sharpe 0.76, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 53.8%p (CAGR 11.4%, MDD -18.5%, exposure 8%).
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=50, threshold=21 |
11.4% | -18.5% | 0.76 | 0.62 | 3.4x | 3 | 8% |
| SMA 크로스오버 fast=68, slow=101 |
7.9% | -64.6% | 0.39 | 0.12 | 2.4x | 43 | 48% |
| MACD fast=23, slow=28, signal=16 |
7.6% | -61.5% | 0.37 | 0.12 | 2.3x | 128 | 50% |
| 볼린저 밴드 돌파 n=49, k=2.1 |
5.7% | -67.6% | 0.34 | 0.08 | 1.9x | 47 | 29% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=3.6 |
5.1% | -63.7% | 0.34 | 0.08 | 1.8x | 23 | 19% |
| Donchian 채널 돌파 entryN=58, exitN=29 |
4.1% | -68.2% | 0.28 | 0.06 | 1.6x | 31 | 41% |
| Supertrend period=23, mult=2.5 |
3.5% | -65.6% | 0.27 | 0.05 | 1.5x | 88 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.6% | -72.6% | 0.22 | 0.02 | 1.2x | 100 | 51% |
| EMA 크로스오버 fast=43, slow=217 |
1.3% | -68.7% | 0.20 | 0.02 | 1.2x | 21 | 43% |
| ROC 모멘텀 n=75, threshold=0.01 |
0.7% | -80.9% | 0.19 | 0.01 | 1.1x | 133 | 48% |
| Buy and hold | 7.6% | -72.3% | 0.39 | 0.10 | 2.3x | 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, 50-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)