Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sportradar Group AG backtest
10 trend-following strategies were compared on the full daily history of Sportradar Group AG. 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 3.5%, MDD -3.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.3%, drawdown -72.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.8%, MDD -8.9%, Sharpe 0.98, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.5%, MDD -36.1%, exposure 43%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 26.1%p higher than buy and hold, while drawdown improves by 63.8%p (CAGR 3.5%, MDD -3.8%, exposure 2%).
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=26, threshold=27 |
11.8% | -8.9% | 0.98 | 1.32 | 1.8x | 2 | 9% |
| ROC 모멘텀 n=129, threshold=0.12 |
18.5% | -23.7% | 0.81 | 0.78 | 2.4x | 26 | 34% |
| Donchian 채널 돌파 entryN=113, exitN=27 |
14.2% | -24.3% | 0.78 | 0.59 | 2.0x | 4 | 22% |
| SMA 크로스오버 fast=39, slow=190 |
18.5% | -36.1% | 0.75 | 0.51 | 2.4x | 6 | 43% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
5.0% | -8.5% | 0.65 | 0.58 | 1.3x | 8 | 5% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=16, mult=3 |
3.5% | -3.8% | 0.63 | 0.92 | 1.2x | 2 | 2% |
| EMA 크로스오버 fast=51, slow=105 |
10.5% | -42.2% | 0.51 | 0.25 | 1.7x | 6 | 41% |
| MACD fast=11, slow=40, signal=9 |
5.0% | -47.6% | 0.32 | 0.11 | 1.3x | 86 | 49% |
| Supertrend period=32, mult=4.8 |
4.4% | -60.3% | 0.29 | 0.07 | 1.2x | 14 | 46% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.4% | -52.1% | 0.04 | -0.10 | 0.8x | 84 | 49% |
| Buy and hold | -14.3% | -72.7% | -0.03 | -0.20 | 0.5x | 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, 26-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)