Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ribbon Communications Inc. backtest
10 trend-following strategies were compared on the full daily history of Ribbon Communications 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 2.0%, MDD -20.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.1%, drawdown -99.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.0%, MDD -20.2%, Sharpe 0.26, 1% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 3.4%, MDD -57.8%, exposure 11%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 79.6%p (CAGR 2.0%, MDD -20.2%, 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=34, threshold=33 |
2.0% | -20.2% | 0.26 | 0.10 | 1.7x | 10 | 1% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=15, mult=3.6 |
3.4% | -57.8% | 0.26 | 0.06 | 2.4x | 44 | 11% |
| EMA 크로스오버 fast=36, slow=106 |
1.9% | -80.5% | 0.23 | 0.02 | 1.6x | 56 | 44% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
2.0% | -70.3% | 0.20 | 0.03 | 1.7x | 36 | 9% |
| SMA 크로스오버 fast=28, slow=191 |
0.3% | -90.8% | 0.19 | 0.00 | 1.1x | 54 | 44% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-5.5% | -99.1% | 0.13 | -0.06 | 0.2x | 567 | 49% |
| Supertrend period=10, mult=2.3 |
-4.5% | -91.5% | 0.12 | -0.05 | 0.3x | 238 | 47% |
| Donchian 채널 돌파 entryN=63, exitN=78 |
-3.8% | -96.2% | 0.12 | -0.04 | 0.4x | 50 | 48% |
| ROC 모멘텀 n=103, threshold=-0.09 |
-4.6% | -96.7% | 0.10 | -0.05 | 0.3x | 242 | 56% |
| MACD fast=24, slow=41, signal=12 |
-7.5% | -95.6% | 0.09 | -0.08 | 0.1x | 294 | 51% |
| Buy and hold | -13.1% | -99.8% | 0.18 | -0.13 | 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, 34-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)