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 34.5%, MDD -53.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -44.6%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.5%, MDD -53.9%, Sharpe 0.69, 25% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 47.4%, MDD -56.9%, exposure 14%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 79.1%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 34.5%, 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=38 |
34.5% | -53.9% | 0.69 | 0.64 | 4.7x | 32 | 25% |
| Supertrend period=18, mult=3.9 |
45.9% | -61.8% | 0.67 | 0.74 | 7.3x | 18 | 40% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=3.5 |
47.4% | -56.9% | 0.66 | 0.83 | 7.7x | 6 | 14% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
39.3% | -63.7% | 0.62 | 0.62 | 5.7x | 8 | 12% |
| Donchian 채널 돌파 entryN=92, exitN=20 |
32.5% | -67.3% | 0.58 | 0.48 | 4.4x | 8 | 17% |
| ROC 모멘텀 n=13, threshold=-0.06 |
14.4% | -81.0% | 0.51 | 0.18 | 2.0x | 96 | 74% |
| SMA 크로스오버 fast=21, slow=53 |
-23.4% | -98.5% | 0.44 | -0.24 | 0.2x | 22 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
9.6% | -74.4% | 0.44 | 0.13 | 1.6x | 54 | 41% |
| EMA 크로스오버 fast=27, slow=89 |
-32.7% | -98.8% | 0.32 | -0.33 | 0.1x | 6 | 34% |
| MACD fast=9, slow=24, signal=12 |
-2.3% | -61.3% | 0.32 | -0.04 | 0.9x | 122 | 54% |
| Buy and hold | -44.6% | -99.7% | 0.27 | -0.45 | 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 ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)