Trend-Following Backtester · Guide · backtest 한국어
equity · US
Magnite, Inc. backtest
10 trend-following strategies were compared on the full daily history of Magnite, 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 19.4%, MDD -36.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.4%, drawdown -93.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.4%, MDD -36.4%, Sharpe 0.80, 11% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 26.3%, MDD -62.0%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.7%p higher than buy and hold, while drawdown improves by 56.9%p (CAGR 19.4%, MDD -36.4%, exposure 11%).
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=17, threshold=32 |
19.4% | -36.4% | 0.80 | 0.53 | 8.9x | 32 | 11% |
| ROC 모멘텀 n=131, threshold=0.09 |
26.3% | -62.0% | 0.73 | 0.42 | 17.9x | 59 | 45% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=1.7 |
19.8% | -58.2% | 0.65 | 0.34 | 9.3x | 65 | 34% |
| Supertrend period=27, mult=5 |
20.2% | -65.7% | 0.63 | 0.31 | 9.7x | 33 | 45% |
| Donchian 채널 돌파 entryN=47, exitN=68 |
19.3% | -68.7% | 0.60 | 0.28 | 8.8x | 21 | 51% |
| 볼린저 밴드 돌파 n=40, k=1.9 |
14.6% | -59.8% | 0.54 | 0.24 | 5.4x | 63 | 32% |
| Parabolic SAR step=0.04, maxStep=0.34 |
12.9% | -94.9% | 0.48 | 0.14 | 4.4x | 379 | 48% |
| SMA 크로스오버 fast=16, slow=165 |
11.4% | -72.5% | 0.46 | 0.16 | 3.8x | 23 | 45% |
| EMA 크로스오버 fast=57, slow=98 |
8.6% | -78.7% | 0.41 | 0.11 | 2.8x | 23 | 45% |
| MACD fast=24, slow=59, signal=24 |
5.1% | -90.9% | 0.37 | 0.06 | 1.8x | 84 | 57% |
| Buy and hold | -0.4% | -93.3% | 0.36 | -0.00 | 1.0x | 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, 17-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)