Trend-Following Backtester · Guide · backtest 한국어
equity · US
Progyny, Inc. backtest
10 trend-following strategies were compared on the full daily history of Progyny, Inc.. 1 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 8.8%, MDD -15.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.3%, drawdown -79.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.8%, MDD -8.5%, Sharpe 0.75, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 10.6%, MDD -57.3%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 70.9%p (CAGR 8.8%, MDD -15.3%, exposure 9%).
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=24, threshold=37 |
5.8% | -8.5% | 0.75 | 0.67 | 1.5x | 3 | 3% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=20, mult=3.1 |
8.8% | -15.3% | 0.71 | 0.58 | 1.8x | 9 | 9% |
| Parabolic SAR step=0.015, maxStep=0.04 |
10.6% | -57.3% | 0.45 | 0.19 | 2.0x | 63 | 50% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
5.9% | -30.8% | 0.44 | 0.19 | 1.5x | 7 | 11% |
| Supertrend period=8, mult=4.2 |
9.0% | -54.0% | 0.42 | 0.17 | 1.8x | 25 | 52% |
| Donchian 채널 돌파 entryN=98, exitN=27 |
6.2% | -42.6% | 0.38 | 0.15 | 1.5x | 9 | 24% |
| MACD fast=17, slow=58, signal=12 |
5.7% | -67.4% | 0.34 | 0.08 | 1.5x | 72 | 48% |
| SMA 크로스오버 fast=29, slow=196 |
3.8% | -60.2% | 0.28 | 0.06 | 1.3x | 13 | 48% |
| EMA 크로스오버 fast=43, slow=117 |
2.7% | -64.3% | 0.25 | 0.04 | 1.2x | 15 | 52% |
| ROC 모멘텀 n=41, threshold=-0.01 |
1.7% | -63.4% | 0.23 | 0.03 | 1.1x | 109 | 51% |
| Buy and hold | 10.3% | -79.5% | 0.47 | 0.13 | 1.9x | 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, 24-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)