Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dropbox, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dropbox, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.5%, drawdown -62.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -5.4%, Sharpe 0.20, 1% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, threshold=38 |
0.3% | -5.4% | 0.20 | 0.06 | 1.0x | 4 | 1% |
| ROC 모멘텀 n=123, threshold=-0.04 |
-0.8% | -46.3% | 0.10 | -0.02 | 0.9x | 83 | 55% |
| SMA 크로스오버 fast=56, slow=110 |
-1.1% | -36.8% | 0.08 | -0.03 | 0.9x | 25 | 47% |
| EMA 크로스오버 fast=14, slow=155 |
-1.3% | -40.7% | 0.07 | -0.03 | 0.9x | 25 | 44% |
| Supertrend period=17, mult=4.2 |
-2.1% | -59.3% | 0.05 | -0.04 | 0.8x | 35 | 49% |
| Donchian 채널 돌파 entryN=71, exitN=70 |
-4.1% | -52.1% | -0.07 | -0.08 | 0.7x | 15 | 41% |
| 볼린저 밴드 돌파 n=57, k=1.4 |
-7.0% | -66.8% | -0.18 | -0.10 | 0.5x | 47 | 36% |
| MACD fast=14, slow=46, signal=9 |
-10.3% | -73.1% | -0.27 | -0.14 | 0.4x | 138 | 52% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-10.5% | -71.2% | -0.28 | -0.15 | 0.4x | 273 | 52% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=12, mult=1.2 |
-11.5% | -79.5% | -0.36 | -0.15 | 0.4x | 77 | 38% |
| Buy and hold | 2.5% | -62.6% | 0.26 | 0.04 | 1.2x | 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, 18-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)