Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alight, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alight, Inc.. 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 -0.8%, MDD -5.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.0%, drawdown -96.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.1%, MDD -18.5%, Sharpe 0.02, 3% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 33.9%p higher than buy and hold, while drawdown improves by 77.8%p (CAGR -0.8%, MDD -5.3%, exposure 1%).
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=20, threshold=36 |
-0.1% | -18.5% | 0.02 | -0.01 | 1.0x | 2 | 3% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-9.5% | -79.7% | -0.14 | -0.12 | 0.5x | 140 | 42% |
| Donchian 채널 돌파 entryN=26, exitN=58 |
-11.9% | -74.5% | -0.15 | -0.16 | 0.5x | 19 | 52% |
| Supertrend period=4, mult=2.3 |
-10.1% | -69.2% | -0.17 | -0.15 | 0.5x | 57 | 43% |
| SMA 크로스오버 fast=17, slow=215 |
-5.5% | -45.7% | -0.19 | -0.12 | 0.7x | 12 | 24% |
| 볼린저 밴드 돌파 n=34, k=3.3 |
-2.1% | -27.6% | -0.24 | -0.08 | 0.9x | 6 | 4% |
| ROC 모멘텀 n=18, threshold=-0.04 |
-15.0% | -78.6% | -0.27 | -0.19 | 0.4x | 133 | 59% |
| EMA 크로스오버 fast=42, slow=150 |
-6.9% | -47.7% | -0.29 | -0.15 | 0.6x | 12 | 24% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=12, mult=3.7 |
-0.8% | -5.3% | -0.41 | -0.16 | 1.0x | 2 | 1% |
| MACD fast=7, slow=23, signal=9 |
-24.5% | -93.4% | -0.58 | -0.26 | 0.2x | 152 | 52% |
| Buy and hold | -34.0% | -96.2% | -0.53 | -0.35 | 0.1x | 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, 20-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)