Trend-Following Backtester · Guide · backtest 한국어
equity · US
Strategic Education, Inc. backtest
10 trend-following strategies were compared on the full daily history of Strategic Education, Inc.. 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 8.4%, drawdown -87.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -23.2%, Sharpe 0.36, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.8%, MDD -80.3%, exposure 83%.
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=22, threshold=36 |
2.8% | -23.2% | 0.36 | 0.12 | 2.3x | 46 | 7% |
| Donchian 채널 돌파 entryN=12, exitN=68 |
5.8% | -80.3% | 0.33 | 0.07 | 5.4x | 91 | 83% |
| SMA 크로스오버 fast=78, slow=222 |
5.4% | -55.6% | 0.33 | 0.10 | 4.9x | 34 | 54% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=3.9 |
3.1% | -56.1% | 0.27 | 0.06 | 2.5x | 56 | 22% |
| ROC 모멘텀 n=198, threshold=0.1 |
2.2% | -69.5% | 0.21 | 0.03 | 1.9x | 216 | 43% |
| 볼린저 밴드 돌파 n=46, k=3 |
2.0% | -54.4% | 0.21 | 0.04 | 1.8x | 62 | 19% |
| EMA 크로스오버 fast=42, slow=189 |
0.5% | -74.5% | 0.16 | 0.01 | 1.2x | 52 | 55% |
| Supertrend period=27, mult=5 |
-1.5% | -87.9% | 0.10 | -0.02 | 0.6x | 97 | 58% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-4.7% | -95.1% | -0.00 | -0.05 | 0.2x | 517 | 53% |
| MACD fast=15, slow=57, signal=16 |
-5.9% | -91.4% | -0.06 | -0.06 | 0.2x | 357 | 50% |
| Buy and hold | 8.4% | -87.0% | 0.40 | 0.10 | 11.4x | 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, 22-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)