Trend-Following Backtester · Guide · backtest 한국어
equity · US
Better Home & Finance Holding Company backtest
10 trend-following strategies were compared on the full daily history of Better Home & Finance Holding Company. 10 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 35.0%, MDD -53.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -50.9%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 35.0%, MDD -53.9%, Sharpe 0.69, 25% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 45.9%, MDD -56.9%, exposure 18%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 85.9%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 35.0%, MDD -53.9%, exposure 25%).
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=8, threshold=37 |
35.0% | -53.9% | 0.69 | 0.65 | 5.1x | 34 | 25% |
| Supertrend period=18, mult=3.9 |
44.2% | -61.8% | 0.65 | 0.72 | 7.3x | 18 | 39% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=15, mult=3.4 |
45.9% | -56.9% | 0.65 | 0.81 | 7.7x | 6 | 18% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
38.6% | -63.7% | 0.61 | 0.61 | 5.9x | 6 | 10% |
| Donchian 채널 돌파 entryN=99, exitN=19 |
31.4% | -67.3% | 0.57 | 0.47 | 4.4x | 8 | 16% |
| EMA 크로스오버 fast=5, slow=32 |
19.1% | -76.2% | 0.52 | 0.25 | 2.6x | 56 | 41% |
| ROC 모멘텀 n=144, threshold=-0.03 |
-13.5% | -97.8% | 0.50 | -0.14 | 0.5x | 14 | 48% |
| SMA 크로스오버 fast=17, slow=45 |
-23.3% | -98.3% | 0.43 | -0.24 | 0.2x | 20 | 48% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.3% | -85.9% | 0.37 | -0.02 | 0.9x | 32 | 36% |
| MACD fast=22, slow=34, signal=34 |
-5.5% | -74.5% | 0.33 | -0.07 | 0.7x | 53 | 60% |
| Buy and hold | -50.9% | -99.7% | 0.19 | -0.51 | 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, 8-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)