Trend-Following Backtester · Guide · backtest 한국어
equity · US
Root, Inc. backtest
10 trend-following strategies were compared on the full daily history of Root, 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 48.6%, MDD -34.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -31.1%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 48.6%, MDD -34.3%, Sharpe 0.99, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 79.7%p higher than buy and hold, while drawdown improves by 65.0%p (CAGR 48.6%, MDD -34.3%, exposure 7%).
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=8, threshold=46 |
48.6% | -34.3% | 0.99 | 1.42 | 10.1x | 22 | 7% |
| ROC 모멘텀 n=79, threshold=0.04 |
47.7% | -48.9% | 0.93 | 0.98 | 9.8x | 26 | 27% |
| SMA 크로스오버 fast=59, slow=99 |
41.0% | -48.9% | 0.87 | 0.84 | 7.4x | 7 | 29% |
| EMA 크로스오버 fast=9, slow=96 |
35.7% | -53.8% | 0.78 | 0.66 | 5.9x | 14 | 30% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=3.1 |
33.5% | -45.0% | 0.78 | 0.74 | 5.4x | 12 | 13% |
| Donchian 채널 돌파 entryN=52, exitN=15 |
32.1% | -43.3% | 0.77 | 0.74 | 5.1x | 12 | 13% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
27.7% | -54.9% | 0.70 | 0.51 | 4.2x | 12 | 14% |
| Supertrend period=20, mult=3 |
28.6% | -66.7% | 0.68 | 0.43 | 4.3x | 32 | 27% |
| MACD fast=19, slow=22, signal=8 |
21.1% | -92.5% | 0.61 | 0.23 | 3.1x | 91 | 52% |
| Parabolic SAR step=0.04, maxStep=0.12 |
16.2% | -80.8% | 0.54 | 0.20 | 2.4x | 135 | 39% |
| Buy and hold | -31.1% | -99.3% | 0.09 | -0.31 | 0.1x | 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, 8-day) is ≥ 46
- Sell — Sell when direction flips or the trend weakens (ADX < 46)