Trend-Following Backtester · Guide · backtest 한국어
equity · US
Distribution Solutions Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Distribution Solutions Group, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -89.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.0%, MDD -71.3%, Sharpe 0.21, 55% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=107 |
2.0% | -71.3% | 0.21 | 0.03 | 2.5x | 121 | 55% |
| ADX / DI 방향성 period=36, threshold=31 |
1.3% | -23.3% | 0.21 | 0.06 | 1.8x | 20 | 9% |
| MACD fast=38, slow=83, signal=31 |
1.7% | -83.9% | 0.20 | 0.02 | 2.2x | 249 | 53% |
| Donchian 채널 돌파 entryN=50, exitN=55 |
1.4% | -83.8% | 0.19 | 0.02 | 1.9x | 111 | 58% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
0.9% | -40.3% | 0.14 | 0.02 | 1.5x | 91 | 7% |
| Supertrend period=9, mult=4.9 |
-0.6% | -92.4% | 0.11 | -0.01 | 0.8x | 131 | 57% |
| EMA 크로스오버 fast=44, slow=213 |
-1.3% | -86.2% | 0.09 | -0.01 | 0.6x | 75 | 57% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=8, mult=3.4 |
0.1% | -46.1% | 0.06 | 0.00 | 1.1x | 63 | 8% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.4% | -99.1% | -0.10 | -0.06 | 0.0x | 735 | 51% |
| ROC 모멘텀 n=84, threshold=0.11 |
-4.5% | -97.0% | -0.11 | -0.05 | 0.1x | 479 | 30% |
| Buy and hold | 5.9% | -89.0% | 0.34 | 0.07 | 14.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 43-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 43-day average falls below the 107-day average