Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cannae Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Cannae Holdings, Inc.. 9 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 1.9%, MDD -3.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.7%, drawdown -76.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -3.9%, Sharpe 0.66, 3% exposure.
CAGR reference leader: Supertrend — CAGR 5.5%, MDD -47.6%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 72.8%p (CAGR 1.9%, MDD -3.9%, exposure 3%).
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=38 |
1.9% | -3.9% | 0.66 | 0.49 | 1.2x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=11, mult=3.7 |
3.3% | -8.3% | 0.53 | 0.39 | 1.3x | 8 | 8% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
1.8% | -7.9% | 0.38 | 0.22 | 1.2x | 2 | 3% |
| Supertrend period=22, mult=3.5 |
5.5% | -47.6% | 0.35 | 0.12 | 1.6x | 41 | 51% |
| MACD fast=16, slow=61, signal=22 |
1.7% | -55.1% | 0.19 | 0.03 | 1.2x | 80 | 51% |
| Donchian 채널 돌파 entryN=25, exitN=24 |
1.1% | -55.3% | 0.15 | 0.02 | 1.1x | 41 | 46% |
| EMA 크로스오버 fast=50, slow=202 |
0.5% | -47.8% | 0.14 | 0.01 | 1.0x | 10 | 37% |
| ROC 모멘텀 n=27, threshold=0.01 |
-1.6% | -55.6% | 0.02 | -0.03 | 0.9x | 157 | 47% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.4% | -69.8% | -0.00 | -0.03 | 0.8x | 79 | 49% |
| SMA 크로스오버 fast=38, slow=196 |
-5.8% | -66.7% | -0.12 | -0.09 | 0.6x | 16 | 40% |
| Buy and hold | -2.7% | -76.7% | 0.10 | -0.04 | 0.8x | 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 ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)