Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ennis, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ennis, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -74.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -12.8%, Sharpe 0.32, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.6%, MDD -76.5%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=49, threshold=27 |
1.3% | -12.8% | 0.32 | 0.10 | 1.8x | 6 | 3% |
| EMA 크로스오버 fast=39, slow=210 |
2.6% | -76.5% | 0.23 | 0.03 | 3.3x | 75 | 55% |
| SMA 크로스오버 fast=49, slow=183 |
1.9% | -70.8% | 0.20 | 0.03 | 2.4x | 83 | 53% |
| Donchian 채널 돌파 entryN=112, exitN=58 |
1.6% | -74.3% | 0.18 | 0.02 | 2.1x | 73 | 42% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=3 |
0.7% | -70.0% | 0.12 | 0.01 | 1.4x | 140 | 26% |
| Supertrend period=11, mult=5 |
-0.2% | -90.3% | 0.10 | -0.00 | 0.9x | 146 | 54% |
| 볼린저 밴드 돌파 n=50, k=2.6 |
0.0% | -66.4% | 0.08 | 0.00 | 1.0x | 133 | 23% |
| MACD fast=28, slow=38, signal=37 |
-1.4% | -94.4% | 0.05 | -0.01 | 0.5x | 357 | 50% |
| ROC 모멘텀 n=254, threshold=0.01 |
-1.8% | -93.9% | 0.03 | -0.02 | 0.4x | 339 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.1% | -99.2% | -0.17 | -0.06 | 0.1x | 363 | 52% |
| Buy and hold | 6.7% | -74.9% | 0.36 | 0.09 | 20.0x | 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, 49-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)