Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Advantage Corporation backtest
10 trend-following strategies were compared on the full daily history of First Advantage Corporation. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -14.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.0%, drawdown -62.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.9%, MDD -14.9%, Sharpe 0.50, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 1.0%, MDD -14.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=30, k=2.8 |
7.9% | -14.9% | 0.50 | 0.53 | 1.5x | 7 | 13% |
| Donchian 채널 돌파 entryN=131, exitN=16 |
3.6% | -15.8% | 0.36 | 0.23 | 1.2x | 7 | 13% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=2.4 |
4.4% | -24.2% | 0.32 | 0.18 | 1.2x | 16 | 18% |
| SMA 크로스오버 fast=42, slow=149 |
3.3% | -20.9% | 0.26 | 0.16 | 1.2x | 11 | 42% |
| ADX / DI 방향성 period=17, threshold=37 |
1.0% | -14.2% | 0.21 | 0.07 | 1.1x | 4 | 1% |
| ROC 모멘텀 n=20, threshold=0.1 |
1.7% | -37.5% | 0.18 | 0.04 | 1.1x | 88 | 18% |
| EMA 크로스오버 fast=22, slow=205 |
1.4% | -37.9% | 0.17 | 0.04 | 1.1x | 7 | 38% |
| Supertrend period=19, mult=2.9 |
-1.1% | -58.3% | 0.12 | -0.02 | 0.9x | 38 | 56% |
| MACD fast=11, slow=46, signal=17 |
-0.8% | -43.1% | 0.11 | -0.02 | 1.0x | 62 | 47% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-15.8% | -68.5% | -0.42 | -0.23 | 0.4x | 167 | 51% |
| Buy and hold | 0.0% | -62.9% | 0.22 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 30-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 30-day middle average