Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dream Finders Homes, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dream Finders Homes, Inc.. 8 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 9.6%, MDD -17.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.0%, drawdown -75.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.6%, MDD -17.0%, Sharpe 0.58, 8% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 11.1%, MDD -37.9%, exposure 29%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 58.4%p (CAGR 9.6%, MDD -17.0%, exposure 8%).
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=24, threshold=25 |
9.6% | -17.0% | 0.58 | 0.57 | 1.7x | 8 | 8% |
| 볼린저 밴드 돌파 n=57, k=2.3 |
11.1% | -37.9% | 0.48 | 0.29 | 1.8x | 16 | 29% |
| SMA 크로스오버 fast=13, slow=67 |
10.6% | -44.8% | 0.45 | 0.24 | 1.8x | 24 | 43% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=17, mult=4 |
6.9% | -24.7% | 0.43 | 0.28 | 1.5x | 6 | 9% |
| EMA 크로스오버 fast=42, slow=159 |
6.6% | -50.9% | 0.36 | 0.13 | 1.4x | 8 | 32% |
| Supertrend period=23, mult=4.6 |
5.9% | -60.6% | 0.34 | 0.10 | 1.4x | 16 | 42% |
| Donchian 채널 돌파 entryN=13, exitN=30 |
1.1% | -64.2% | 0.24 | 0.02 | 1.1x | 24 | 59% |
| ROC 모멘텀 n=42, threshold=0.01 |
-5.9% | -66.8% | 0.03 | -0.09 | 0.7x | 96 | 44% |
| MACD fast=16, slow=51, signal=11 |
-7.7% | -71.5% | 0.01 | -0.11 | 0.6x | 73 | 52% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-13.8% | -68.8% | -0.18 | -0.20 | 0.4x | 69 | 49% |
| Buy and hold | -7.0% | -75.4% | 0.16 | -0.09 | 0.7x | 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, 24-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)