Trend-Following Backtester · Guide · backtest 한국어
equity · US
8x8 Inc backtest
10 trend-following strategies were compared on the full daily history of 8x8 Inc. 10 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 10.1%, MDD -47.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.5%, drawdown -99.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.1%, MDD -47.6%, Sharpe 0.47, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 10.1%, MDD -47.6%, exposure 4%).
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=16, threshold=39 |
10.1% | -47.6% | 0.47 | 0.21 | 16.3x | 34 | 4% |
| Supertrend period=9, mult=2.6 |
8.1% | -96.7% | 0.42 | 0.08 | 9.5x | 198 | 51% |
| SMA 크로스오버 fast=42, slow=201 |
9.0% | -91.0% | 0.41 | 0.10 | 12.3x | 42 | 47% |
| EMA 크로스오버 fast=47, slow=147 |
7.9% | -88.1% | 0.39 | 0.09 | 9.2x | 46 | 43% |
| MACD fast=14, slow=53, signal=10 |
0.6% | -96.0% | 0.33 | 0.01 | 1.2x | 423 | 51% |
| Donchian 채널 돌파 entryN=101, exitN=70 |
2.4% | -88.4% | 0.30 | 0.03 | 2.0x | 39 | 42% |
| ROC 모멘텀 n=145, threshold=0 |
-0.8% | -92.1% | 0.25 | -0.01 | 0.8x | 264 | 48% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=9, mult=3.6 |
2.8% | -79.5% | 0.24 | 0.04 | 2.2x | 52 | 15% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-4.4% | -95.7% | 0.23 | -0.05 | 0.3x | 338 | 46% |
| 볼린저 밴드 돌파 n=42, k=2.7 |
-0.4% | -83.3% | 0.20 | -0.01 | 0.9x | 94 | 20% |
| Buy and hold | -4.5% | -99.5% | 0.38 | -0.04 | 0.3x | 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, 16-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)