Trend-Following Backtester · Guide · backtest 한국어
equity · US
Criteo S.A. backtest
10 trend-following strategies were compared on the full daily history of Criteo S.A.. 9 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 8.3%, MDD -13.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.8%, drawdown -89.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.3%, MDD -13.5%, Sharpe 0.67, 9% exposure.
CAGR reference leader: Supertrend — CAGR 9.8%, MDD -50.5%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 75.7%p (CAGR 8.3%, MDD -13.5%, 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=39, threshold=23 |
8.3% | -13.5% | 0.67 | 0.62 | 2.8x | 8 | 9% |
| Supertrend period=28, mult=5 |
9.8% | -50.5% | 0.47 | 0.19 | 3.3x | 25 | 44% |
| SMA 크로스오버 fast=50, slow=142 |
5.9% | -62.2% | 0.34 | 0.09 | 2.1x | 21 | 41% |
| ROC 모멘텀 n=119, threshold=0.14 |
4.4% | -58.3% | 0.31 | 0.08 | 1.7x | 99 | 28% |
| 볼린저 밴드 돌파 n=20, k=2.4 |
2.3% | -46.3% | 0.21 | 0.05 | 1.3x | 70 | 18% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=4 |
1.9% | -42.1% | 0.20 | 0.04 | 1.3x | 17 | 11% |
| EMA 크로스오버 fast=11, slow=207 |
1.2% | -57.7% | 0.18 | 0.02 | 1.2x | 25 | 40% |
| Donchian 채널 돌파 entryN=107, exitN=54 |
1.3% | -62.3% | 0.17 | 0.02 | 1.2x | 17 | 29% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-0.9% | -77.9% | 0.14 | -0.01 | 0.9x | 71 | 47% |
| MACD fast=13, slow=27, signal=17 |
-12.3% | -89.2% | -0.20 | -0.14 | 0.2x | 202 | 51% |
| Buy and hold | -3.8% | -89.2% | 0.17 | -0.04 | 0.6x | 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, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)