Trend-Following Backtester · Guide · backtest 한국어
equity · US
908 Devices Inc. backtest
10 trend-following strategies were compared on the full daily history of 908 Devices Inc.. 9 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 9.7%, MDD -25.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -27.6%, drawdown -97.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.7%, MDD -25.4%, Sharpe 0.56, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 37.3%p higher than buy and hold, while drawdown improves by 72.1%p (CAGR 9.7%, MDD -25.4%, exposure 6%).
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=34, threshold=24 |
9.7% | -25.4% | 0.56 | 0.38 | 1.7x | 4 | 6% |
| SMA 크로스오버 fast=20, slow=168 |
5.6% | -52.6% | 0.33 | 0.11 | 1.4x | 7 | 26% |
| EMA 크로스오버 fast=36, slow=91 |
4.4% | -49.6% | 0.30 | 0.09 | 1.3x | 9 | 26% |
| Supertrend period=29, mult=4.9 |
0.7% | -78.7% | 0.27 | 0.01 | 1.0x | 11 | 31% |
| Donchian 채널 돌파 entryN=71, exitN=30 |
2.1% | -60.0% | 0.25 | 0.04 | 1.1x | 8 | 23% |
| ROC 모멘텀 n=92, threshold=0.09 |
-2.4% | -70.2% | 0.14 | -0.03 | 0.9x | 49 | 26% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
-1.4% | -57.8% | 0.14 | -0.02 | 0.9x | 10 | 15% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=3.5 |
-5.8% | -55.8% | -0.04 | -0.10 | 0.7x | 10 | 11% |
| MACD fast=13, slow=38, signal=18 |
-23.4% | -86.0% | -0.15 | -0.27 | 0.2x | 64 | 49% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-34.7% | -94.2% | -0.43 | -0.37 | 0.1x | 84 | 43% |
| Buy and hold | -27.6% | -97.5% | 0.08 | -0.28 | 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, 34-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)