Trend-Following Backtester · Guide · backtest 한국어
equity · US
Calix, Inc backtest
10 trend-following strategies were compared on the full daily history of Calix, Inc. 6 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 10.0%, MDD -38.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.4%, drawdown -80.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.0%, MDD -38.7%, Sharpe 0.56, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.7%, MDD -61.6%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 10.0%, MDD -38.7%, exposure 11%).
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=46, threshold=20 |
10.0% | -38.7% | 0.56 | 0.26 | 4.8x | 12 | 11% |
| SMA 크로스오버 fast=32, slow=165 |
10.7% | -61.6% | 0.46 | 0.17 | 5.2x | 28 | 49% |
| Donchian 채널 돌파 entryN=47, exitN=47 |
7.7% | -78.0% | 0.39 | 0.10 | 3.3x | 34 | 50% |
| EMA 크로스오버 fast=46, slow=104 |
7.6% | -62.8% | 0.39 | 0.12 | 3.3x | 26 | 48% |
| ROC 모멘텀 n=95, threshold=0.06 |
7.0% | -67.5% | 0.37 | 0.10 | 3.0x | 142 | 44% |
| Supertrend period=35, mult=5 |
6.0% | -82.5% | 0.34 | 0.07 | 2.6x | 52 | 54% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=28, mult=2.7 |
4.1% | -65.3% | 0.28 | 0.06 | 1.9x | 56 | 31% |
| 볼린저 밴드 돌파 n=43, k=2 |
1.5% | -75.3% | 0.19 | 0.02 | 1.3x | 84 | 34% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-4.3% | -87.3% | 0.07 | -0.05 | 0.5x | 214 | 48% |
| MACD fast=13, slow=22, signal=10 |
-6.3% | -82.4% | 0.01 | -0.08 | 0.3x | 304 | 51% |
| Buy and hold | 5.4% | -80.9% | 0.37 | 0.07 | 2.4x | 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, 46-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)