Trend-Following Backtester · Guide · backtest 한국어
equity · US
Corvex, Inc. backtest
10 trend-following strategies were compared on the full daily history of Corvex, 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 -4.6%, MDD -36.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -54.5%, drawdown -99.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.4%, MDD -43.6%, Sharpe 0.52, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 69.9%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR -4.6%, MDD -36.3%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=31 |
15.4% | -43.6% | 0.52 | 0.35 | 2.2x | 2 | 7% |
| SMA 크로스오버 fast=39, slow=208 |
6.3% | -55.8% | 0.34 | 0.11 | 1.4x | 5 | 15% |
| ROC 모멘텀 n=131, threshold=0.13 |
-1.6% | -60.5% | 0.26 | -0.03 | 0.9x | 25 | 14% |
| Supertrend period=8, mult=4.6 |
-23.9% | -93.9% | 0.18 | -0.25 | 0.2x | 12 | 44% |
| EMA 크로스오버 fast=29, slow=160 |
-2.9% | -55.8% | 0.14 | -0.05 | 0.9x | 3 | 11% |
| Parabolic SAR step=0.055, maxStep=0.2 |
-17.4% | -93.2% | 0.14 | -0.19 | 0.4x | 188 | 40% |
| MACD fast=6, slow=36, signal=4 |
-39.2% | -97.8% | -0.11 | -0.40 | 0.1x | 194 | 46% |
| Donchian 채널 돌파 entryN=33, exitN=72 |
-35.8% | -95.7% | -0.16 | -0.37 | 0.1x | 12 | 34% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=11, mult=3.1 |
-4.6% | -36.3% | -0.31 | -0.13 | 0.8x | 2 | 1% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
-25.4% | -84.7% | -0.55 | -0.30 | 0.2x | 12 | 13% |
| Buy and hold | -54.5% | -99.5% | -0.03 | -0.55 | 0.0x | 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, 35-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)