Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cadiz, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cadiz, Inc.. 8 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 4.9%, MDD -64.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -12.8%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -64.4%, Sharpe 0.31, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 4.9%, MDD -64.4%, 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=12, threshold=39 |
4.9% | -64.4% | 0.31 | 0.08 | 5.9x | 106 | 8% |
| Supertrend period=7, mult=5 |
2.3% | -85.1% | 0.27 | 0.03 | 2.4x | 118 | 50% |
| EMA 크로스오버 fast=31, slow=40 |
0.6% | -82.8% | 0.22 | 0.01 | 1.2x | 146 | 49% |
| SMA 크로스오버 fast=33, slow=129 |
-0.1% | -79.7% | 0.21 | -0.00 | 0.9x | 92 | 50% |
| 볼린저 밴드 돌파 n=23, k=2.9 |
2.0% | -68.9% | 0.20 | 0.03 | 2.1x | 112 | 12% |
| Donchian 채널 돌파 entryN=57, exitN=76 |
-1.1% | -83.1% | 0.19 | -0.01 | 0.6x | 66 | 57% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=11, mult=2.9 |
1.6% | -64.7% | 0.19 | 0.02 | 1.8x | 110 | 15% |
| ROC 모멘텀 n=129, threshold=0.09 |
-3.9% | -95.4% | 0.08 | -0.04 | 0.2x | 340 | 38% |
| MACD fast=25, slow=46, signal=16 |
-14.6% | -99.9% | -0.02 | -0.15 | 0.0x | 388 | 50% |
| Parabolic SAR step=0.04, maxStep=0.38 |
-15.0% | -99.8% | -0.09 | -0.15 | 0.0x | 1083 | 49% |
| Buy and hold | -12.8% | -99.7% | 0.23 | -0.13 | 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, 12-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)