Trend-Following Backtester · Guide · backtest 한국어
equity · US
iHeartMedia, Inc. backtest
10 trend-following strategies were compared on the full daily history of iHeartMedia, Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.9%, MDD -30.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.6%, drawdown -96.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 26.3%, MDD -41.3%, Sharpe 0.73, 41% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 44.9%p higher than buy and hold, while drawdown improves by 55.6%p (CAGR 12.9%, MDD -30.7%, exposure 17%).
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=19, threshold=18 |
26.3% | -41.3% | 0.73 | 0.64 | 5.2x | 50 | 41% |
| EMA 크로스오버 fast=11, slow=134 |
16.1% | -43.3% | 0.55 | 0.37 | 2.9x | 10 | 35% |
| SMA 크로스오버 fast=21, slow=233 |
15.5% | -51.2% | 0.53 | 0.30 | 2.8x | 5 | 35% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=3.6 |
12.9% | -30.7% | 0.53 | 0.42 | 2.4x | 8 | 17% |
| Supertrend period=15, mult=3.2 |
10.9% | -75.4% | 0.45 | 0.14 | 2.1x | 34 | 45% |
| 볼린저 밴드 돌파 n=40, k=2.3 |
10.5% | -59.5% | 0.44 | 0.18 | 2.0x | 26 | 28% |
| Donchian 채널 돌파 entryN=40, exitN=20 |
8.3% | -70.1% | 0.40 | 0.12 | 1.8x | 24 | 35% |
| ROC 모멘텀 n=117, threshold=0.12 |
7.8% | -46.8% | 0.38 | 0.17 | 1.7x | 40 | 32% |
| Parabolic SAR step=0.045, maxStep=0.36 |
-6.6% | -66.5% | 0.12 | -0.10 | 0.6x | 246 | 48% |
| MACD fast=13, slow=21, signal=6 |
-14.2% | -90.2% | 0.00 | -0.16 | 0.3x | 152 | 51% |
| Buy and hold | -18.6% | -96.9% | 0.16 | -0.19 | 0.2x | 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, 19-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)