Trend-Following Backtester · Guide · backtest 한국어
equity · US
EverQuote, Inc. backtest
10 trend-following strategies were compared on the full daily history of EverQuote, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 31.5%, MDD -45.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -91.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 34.2%, MDD -50.5%, Sharpe 0.92, 33% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 34.8%, MDD -56.1%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.0%p higher than buy and hold, while drawdown improves by 40.7%p (CAGR 31.5%, MDD -45.4%, exposure 34%).
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=36, threshold=15 |
34.2% | -50.5% | 0.92 | 0.68 | 10.8x | 37 | 33% |
| 볼린저 밴드 돌파 n=33, k=1.9 |
31.5% | -45.4% | 0.90 | 0.69 | 9.2x | 37 | 34% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=1.7 |
33.7% | -51.3% | 0.86 | 0.66 | 10.5x | 35 | 36% |
| EMA 크로스오버 fast=12, slow=75 |
34.8% | -56.1% | 0.84 | 0.62 | 11.2x | 25 | 46% |
| SMA 크로스오버 fast=4, slow=98 |
33.4% | -52.3% | 0.82 | 0.64 | 10.3x | 47 | 47% |
| Donchian 채널 돌파 entryN=52, exitN=40 |
32.8% | -53.3% | 0.80 | 0.62 | 9.9x | 15 | 49% |
| Supertrend period=20, mult=4.1 |
28.0% | -53.7% | 0.75 | 0.52 | 7.4x | 25 | 44% |
| ROC 모멘텀 n=75, threshold=0.06 |
26.1% | -63.0% | 0.72 | 0.41 | 6.5x | 55 | 43% |
| MACD fast=19, slow=41, signal=18 |
27.1% | -67.4% | 0.70 | 0.40 | 6.9x | 80 | 57% |
| Parabolic SAR step=0.015, maxStep=0.2 |
15.1% | -71.3% | 0.54 | 0.21 | 3.1x | 144 | 51% |
| Buy and hold | 4.2% | -91.2% | 0.42 | 0.05 | 1.4x | 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, 36-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)