Trend-Following Backtester · Guide · backtest 한국어
equity · US
Power Solutions International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Power Solutions International, 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 19.6%, MDD -54.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.8%, drawdown -98.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.6%, MDD -54.5%, Sharpe 0.73, 15% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 26.1%, MDD -60.0%, exposure 22%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.8%p higher than buy and hold, while drawdown improves by 44.0%p (CAGR 19.6%, MDD -54.5%, exposure 15%).
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=38, threshold=21 |
19.6% | -54.5% | 0.73 | 0.36 | 12.9x | 26 | 15% |
| 볼린저 밴드 돌파 n=76, k=2.8 |
26.1% | -60.0% | 0.73 | 0.44 | 27.5x | 16 | 22% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=14, mult=4 |
22.8% | -64.4% | 0.68 | 0.35 | 18.9x | 26 | 27% |
| Donchian 채널 돌파 entryN=12, exitN=25 |
24.5% | -87.4% | 0.65 | 0.28 | 22.8x | 78 | 61% |
| EMA 크로스오버 fast=14, slow=25 |
22.7% | -75.3% | 0.63 | 0.30 | 18.6x | 90 | 49% |
| SMA 크로스오버 fast=8, slow=66 |
16.8% | -80.4% | 0.54 | 0.21 | 9.2x | 68 | 48% |
| ROC 모멘텀 n=131, threshold=0.05 |
14.3% | -86.9% | 0.51 | 0.16 | 6.8x | 102 | 40% |
| MACD fast=18, slow=40, signal=24 |
12.4% | -84.3% | 0.49 | 0.15 | 5.3x | 135 | 52% |
| Supertrend period=10, mult=2.6 |
11.2% | -93.8% | 0.47 | 0.12 | 4.6x | 136 | 48% |
| Parabolic SAR step=0.025, maxStep=0.14 |
3.5% | -95.4% | 0.35 | 0.04 | 1.6x | 276 | 47% |
| Buy and hold | 2.8% | -98.6% | 0.49 | 0.03 | 1.5x | 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, 38-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)