Trend-Following Backtester · Guide · backtest 한국어
equity · US
Remitly Global, Inc. backtest
10 trend-following strategies were compared on the full daily history of Remitly Global, 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 7.0%, MDD -4.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.2%, drawdown -85.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.0%, MDD -4.5%, Sharpe 1.00, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.2%, MDD -35.2%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.2%p higher than buy and hold, while drawdown improves by 81.4%p (CAGR 7.0%, MDD -4.5%, exposure 5%).
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=11, threshold=47 |
7.0% | -4.5% | 1.00 | 1.55 | 1.4x | 6 | 5% |
| SMA 크로스오버 fast=54, slow=137 |
22.2% | -35.2% | 0.74 | 0.63 | 2.7x | 7 | 46% |
| ROC 모멘텀 n=94, threshold=0.03 |
22.0% | -38.3% | 0.74 | 0.58 | 2.7x | 38 | 44% |
| Donchian 채널 돌파 entryN=74, exitN=46 |
18.4% | -32.7% | 0.71 | 0.56 | 2.3x | 6 | 34% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=11, mult=4 |
6.7% | -14.5% | 0.70 | 0.46 | 1.4x | 4 | 8% |
| EMA 크로스오버 fast=63, slow=82 |
18.3% | -31.9% | 0.68 | 0.58 | 2.3x | 5 | 42% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
5.8% | -32.1% | 0.50 | 0.18 | 1.3x | 10 | 14% |
| Supertrend period=27, mult=4.6 |
5.9% | -57.4% | 0.35 | 0.10 | 1.3x | 16 | 58% |
| Parabolic SAR step=0.035, maxStep=0.14 |
-6.3% | -71.1% | 0.04 | -0.09 | 0.7x | 129 | 49% |
| MACD fast=12, slow=53, signal=6 |
-14.5% | -75.4% | -0.20 | -0.19 | 0.5x | 96 | 50% |
| Buy and hold | -15.2% | -85.9% | 0.01 | -0.18 | 0.4x | 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, 11-day) is ≥ 47
- Sell — Sell when direction flips or the trend weakens (ADX < 47)