Trend-Following Backtester · Guide · backtest 한국어
equity · US
Taboola.com Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taboola.com Ltd.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.7%, MDD -34.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.0%, drawdown -84.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.4%, MDD -49.0%, Sharpe 0.49, 35% exposure.
Return/drawdown alternative: Supertrend — CAGR is 30.4%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 5.7%, MDD -34.0%, exposure 49%).
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=18, threshold=18 |
12.4% | -49.0% | 0.49 | 0.25 | 1.8x | 42 | 35% |
| 볼린저 밴드 돌파 n=42, k=2.7 |
10.1% | -36.5% | 0.47 | 0.28 | 1.6x | 14 | 27% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=22, mult=2 |
6.2% | -38.0% | 0.35 | 0.16 | 1.4x | 22 | 30% |
| Donchian 채널 돌파 entryN=35, exitN=31 |
6.2% | -38.0% | 0.35 | 0.16 | 1.4x | 16 | 41% |
| Supertrend period=25, mult=4.4 |
5.7% | -34.0% | 0.34 | 0.17 | 1.3x | 14 | 49% |
| EMA 크로스오버 fast=13, slow=18 |
0.3% | -49.8% | 0.21 | 0.01 | 1.0x | 42 | 46% |
| ROC 모멘텀 n=113, threshold=-0.04 |
-2.5% | -49.3% | 0.14 | -0.05 | 0.9x | 35 | 51% |
| MACD fast=12, slow=38, signal=6 |
-3.6% | -64.7% | 0.13 | -0.06 | 0.8x | 95 | 52% |
| SMA 크로스오버 fast=10, slow=172 |
-5.9% | -56.7% | 0.03 | -0.10 | 0.7x | 16 | 46% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-10.0% | -65.2% | -0.03 | -0.15 | 0.6x | 104 | 46% |
| Buy and hold | -18.0% | -84.8% | -0.04 | -0.21 | 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, 18-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)