Trend-Following Backtester · Guide · backtest 한국어
equity · US
Opendoor Technologies Inc backtest
10 trend-following strategies were compared on the full daily history of Opendoor Technologies 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 62.3%, MDD -55.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.9%, drawdown -98.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 62.3%, MDD -55.7%, Sharpe 1.00, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 78.2%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 62.3%, MDD -55.7%, 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=9, threshold=34 |
62.3% | -55.7% | 1.00 | 1.12 | 19.3x | 32 | 17% |
| 볼린저 밴드 돌파 n=30, k=1.9 |
56.6% | -56.5% | 0.94 | 1.00 | 15.6x | 28 | 22% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=8, mult=1.8 |
46.6% | -59.6% | 0.85 | 0.78 | 10.4x | 28 | 20% |
| Donchian 채널 돌파 entryN=24, exitN=15 |
47.1% | -63.0% | 0.85 | 0.75 | 10.6x | 20 | 28% |
| Supertrend period=18, mult=3.5 |
44.9% | -64.0% | 0.83 | 0.70 | 9.7x | 24 | 30% |
| ROC 모멘텀 n=48, threshold=0.11 |
45.4% | -68.8% | 0.83 | 0.66 | 9.9x | 66 | 29% |
| SMA 크로스오버 fast=12, slow=55 |
29.6% | -70.6% | 0.68 | 0.42 | 4.9x | 28 | 31% |
| EMA 크로스오버 fast=16, slow=32 |
16.4% | -80.9% | 0.54 | 0.20 | 2.5x | 34 | 32% |
| Parabolic SAR step=0.01, maxStep=0.14 |
14.2% | -81.0% | 0.53 | 0.18 | 2.3x | 82 | 42% |
| MACD fast=19, slow=42, signal=13 |
-13.8% | -97.8% | 0.25 | -0.14 | 0.4x | 72 | 51% |
| Buy and hold | -15.9% | -98.6% | 0.36 | -0.16 | 0.3x | 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, 9-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)