Trend-Following Backtester · Guide · backtest 한국어
equity · US
Peloton Interactive, Inc. backtest
10 trend-following strategies were compared on the full daily history of Peloton Interactive, 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 19.6%, MDD -36.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.3%, drawdown -98.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 27.4%, MDD -44.2%, Sharpe 0.89, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 47.8%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 19.6%, MDD -36.0%, exposure 21%).
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=32, threshold=19 |
27.4% | -44.2% | 0.89 | 0.62 | 5.4x | 18 | 22% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=2.5 |
19.6% | -36.0% | 0.68 | 0.55 | 3.5x | 20 | 21% |
| 볼린저 밴드 돌파 n=34, k=2.6 |
17.7% | -59.2% | 0.63 | 0.30 | 3.1x | 20 | 22% |
| Donchian 채널 돌파 entryN=42, exitN=42 |
16.9% | -60.6% | 0.56 | 0.28 | 2.9x | 15 | 43% |
| SMA 크로스오버 fast=54, slow=117 |
13.7% | -68.8% | 0.51 | 0.20 | 2.4x | 15 | 39% |
| EMA 크로스오버 fast=47, slow=143 |
9.6% | -65.1% | 0.43 | 0.15 | 1.9x | 9 | 31% |
| ROC 모멘텀 n=103, threshold=0.06 |
8.5% | -61.1% | 0.40 | 0.14 | 1.8x | 45 | 33% |
| Supertrend period=23, mult=3.1 |
2.0% | -89.6% | 0.30 | 0.02 | 1.1x | 38 | 46% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.1% | -88.0% | 0.28 | -0.00 | 1.0x | 62 | 47% |
| MACD fast=12, slow=43, signal=12 |
-4.4% | -83.2% | 0.24 | -0.05 | 0.7x | 94 | 51% |
| Buy and hold | -20.3% | -98.3% | 0.13 | -0.21 | 0.2x | 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, 32-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)