Trend-Following Backtester · Guide · backtest 한국어
equity · US
Science Applications International Corporation backtest
10 trend-following strategies were compared on the full daily history of Science Applications International Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -46.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -8.9%, Sharpe 0.57, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.9%, MDD -55.6%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=37, threshold=25 |
2.8% | -8.9% | 0.57 | 0.32 | 1.4x | 2 | 5% |
| Donchian 채널 돌파 Hold-like · Exposure 96% entryN=3, exitN=131 |
7.9% | -55.6% | 0.41 | 0.14 | 2.7x | 35 | 96% |
| MACD fast=14, slow=25, signal=15 |
5.2% | -41.0% | 0.34 | 0.13 | 1.9x | 186 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
3.8% | -39.6% | 0.28 | 0.09 | 1.6x | 219 | 52% |
| ROC 모멘텀 n=138, threshold=-0.02 |
2.6% | -58.1% | 0.23 | 0.04 | 1.4x | 107 | 64% |
| Supertrend period=15, mult=1.6 |
2.4% | -45.3% | 0.22 | 0.05 | 1.4x | 201 | 54% |
| SMA 크로스오버 fast=57, slow=123 |
2.1% | -59.9% | 0.21 | 0.03 | 1.3x | 37 | 58% |
| EMA 크로스오버 fast=43, slow=151 |
-1.6% | -69.6% | 0.03 | -0.02 | 0.8x | 31 | 59% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=8, mult=3.4 |
-0.6% | -38.6% | 0.02 | -0.01 | 0.9x | 32 | 22% |
| 볼린저 밴드 돌파 n=50, k=1.8 |
-1.6% | -64.0% | 0.01 | -0.02 | 0.8x | 67 | 39% |
| Buy and hold | 11.4% | -46.6% | 0.50 | 0.24 | 4.1x | 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, 37-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)