Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tenable Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tenable Holdings, Inc.. 1 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 4.8%, MDD -35.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.8%, drawdown -74.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.8%, MDD -35.3%, Sharpe 0.36, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 39.1%p (CAGR 4.8%, MDD -35.3%, exposure 10%).
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=15 |
4.8% | -35.3% | 0.36 | 0.14 | 1.5x | 17 | 10% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=3.9 |
1.6% | -20.5% | 0.20 | 0.08 | 1.1x | 4 | 3% |
| SMA 크로스오버 fast=54, slow=113 |
0.7% | -51.1% | 0.19 | 0.01 | 1.1x | 19 | 45% |
| Supertrend period=27, mult=4 |
0.3% | -55.9% | 0.17 | 0.01 | 1.0x | 33 | 43% |
| Donchian 채널 돌파 entryN=105, exitN=22 |
-0.4% | -52.8% | 0.11 | -0.01 | 1.0x | 19 | 24% |
| ROC 모멘텀 n=93, threshold=-0.11 |
-5.8% | -67.7% | 0.03 | -0.09 | 0.6x | 75 | 66% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-5.1% | -81.0% | 0.01 | -0.06 | 0.7x | 169 | 50% |
| EMA 크로스오버 fast=9, slow=34 |
-5.6% | -73.6% | -0.01 | -0.08 | 0.6x | 65 | 48% |
| 볼린저 밴드 돌파 n=17, k=1.9 |
-5.6% | -68.6% | -0.10 | -0.08 | 0.6x | 90 | 30% |
| MACD fast=15, slow=66, signal=15 |
-11.1% | -84.4% | -0.18 | -0.13 | 0.4x | 100 | 51% |
| Buy and hold | 2.8% | -74.4% | 0.30 | 0.04 | 1.3x | 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 ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)