Trend-Following Backtester · Guide · backtest 한국어
equity · US
Barnes & Noble Education, Inc backtest
10 trend-following strategies were compared on the full daily history of Barnes & Noble Education, Inc. 10 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 5.4%, MDD -19.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.2%, drawdown -99.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.4%, MDD -19.4%, Sharpe 0.43, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.0%, MDD -54.1%, exposure 12%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 40.6%p higher than buy and hold, while drawdown improves by 80.2%p (CAGR 5.4%, MDD -19.4%, 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=43, threshold=28 |
5.4% | -19.4% | 0.43 | 0.28 | 1.8x | 2 | 2% |
| SMA 크로스오버 fast=50, slow=412 |
7.0% | -54.1% | 0.39 | 0.13 | 2.1x | 3 | 12% |
| MACD fast=5, slow=25, signal=6 |
-4.7% | -89.7% | 0.33 | -0.05 | 0.6x | 316 | 54% |
| EMA 크로스오버 fast=67, slow=193 |
3.1% | -48.9% | 0.25 | 0.06 | 1.4x | 7 | 14% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
-1.0% | -63.2% | 0.11 | -0.02 | 0.9x | 7 | 5% |
| Supertrend period=23, mult=3.2 |
-16.4% | -90.4% | 0.05 | -0.18 | 0.1x | 70 | 43% |
| Donchian 채널 돌파 entryN=122, exitN=40 |
-5.0% | -71.7% | 0.04 | -0.07 | 0.6x | 11 | 15% |
| Parabolic SAR step=0.045, maxStep=0.22 |
-20.6% | -93.7% | 0.03 | -0.22 | 0.1x | 357 | 47% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=13, mult=1.3 |
-8.7% | -79.9% | 0.03 | -0.11 | 0.4x | 58 | 6% |
| ROC 모멘텀 n=93, threshold=0.1 |
-9.5% | -85.1% | -0.02 | -0.11 | 0.3x | 113 | 24% |
| Buy and hold | -35.2% | -99.6% | 0.08 | -0.35 | 0.0x | 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, 43-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)