Trend-Following Backtester · Guide · backtest 한국어
equity · US
Duos Technologies Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Duos Technologies Group, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 0.5%, MDD -60.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.9%, drawdown -97.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.8%, MDD -77.1%, Sharpe 0.49, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 32.7%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 0.5%, MDD -60.5%, exposure 38%).
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=31, threshold=9 |
11.8% | -77.1% | 0.49 | 0.15 | 2.8x | 84 | 49% |
| SMA 크로스오버 fast=28, slow=214 |
5.8% | -65.9% | 0.39 | 0.09 | 1.7x | 11 | 41% |
| EMA 크로스오버 fast=8, slow=55 |
1.9% | -73.0% | 0.33 | 0.03 | 1.2x | 48 | 46% |
| Donchian 채널 돌파 entryN=57, exitN=41 |
0.5% | -60.5% | 0.29 | 0.01 | 1.0x | 17 | 38% |
| ROC 모멘텀 n=62, threshold=0.08 |
-3.9% | -75.3% | 0.22 | -0.05 | 0.7x | 134 | 38% |
| MACD fast=17, slow=51, signal=22 |
-20.6% | -94.3% | 0.19 | -0.22 | 0.1x | 84 | 54% |
| Supertrend period=9, mult=4.8 |
-14.3% | -93.5% | 0.15 | -0.15 | 0.2x | 30 | 54% |
| 볼린저 밴드 돌파 n=54, k=2 |
-8.3% | -68.3% | 0.07 | -0.12 | 0.5x | 36 | 25% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=20, mult=1.9 |
-9.2% | -68.7% | 0.05 | -0.13 | 0.4x | 42 | 29% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-15.5% | -96.3% | 0.04 | -0.16 | 0.2x | 240 | 45% |
| Buy and hold | -20.9% | -97.9% | 0.31 | -0.21 | 0.1x | 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, 31-day) is ≥ 9
- Sell — Sell when direction flips or the trend weakens (ADX < 9)