Trend-Following Backtester · Guide · backtest 한국어
equity · US
Grid Dynamics Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Grid Dynamics Holdings, 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 9.5%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.1%, drawdown -87.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.5%, MDD -19.0%, Sharpe 0.75, 16% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.8%, MDD -48.3%, exposure 69%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.6%p higher than buy and hold, while drawdown improves by 68.6%p (CAGR 9.5%, MDD -19.0%, exposure 16%).
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=22, threshold=30 |
9.5% | -19.0% | 0.75 | 0.50 | 2.0x | 16 | 16% |
| Supertrend period=46, mult=2.6 |
19.1% | -37.1% | 0.68 | 0.52 | 3.9x | 43 | 54% |
| ROC 모멘텀 n=22, threshold=-0.04 |
20.8% | -48.3% | 0.66 | 0.43 | 4.3x | 97 | 69% |
| EMA 크로스오버 fast=9, slow=55 |
17.3% | -41.6% | 0.62 | 0.42 | 3.4x | 33 | 57% |
| Donchian 채널 돌파 entryN=18, exitN=38 |
18.2% | -56.2% | 0.60 | 0.32 | 3.6x | 25 | 69% |
| MACD fast=13, slow=85, signal=22 |
17.6% | -49.1% | 0.60 | 0.36 | 3.5x | 77 | 54% |
| SMA 크로스오버 fast=8, slow=66 |
16.8% | -48.3% | 0.60 | 0.35 | 3.3x | 26 | 59% |
| 볼린저 밴드 돌파 n=35, k=2.9 |
10.5% | -33.6% | 0.56 | 0.31 | 2.2x | 27 | 29% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=3.2 |
9.8% | -32.3% | 0.53 | 0.30 | 2.1x | 18 | 28% |
| Parabolic SAR step=0.005, maxStep=0.18 |
5.3% | -67.3% | 0.33 | 0.08 | 1.5x | 63 | 49% |
| Buy and hold | -4.1% | -87.6% | 0.21 | -0.05 | 0.7x | 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, 22-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)