Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ethan Allen Interiors Inc. backtest
10 trend-following strategies were compared on the full daily history of Ethan Allen Interiors 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 3.7%, drawdown -84.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -8.4%, Sharpe 0.21, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.5%, MDD -84.0%, exposure 51%.
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=32, threshold=39 |
0.5% | -8.4% | 0.21 | 0.06 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=42, slow=67 |
1.5% | -84.0% | 0.19 | 0.02 | 1.6x | 143 | 51% |
| Donchian 채널 돌파 entryN=15, exitN=74 |
0.2% | -77.6% | 0.18 | 0.00 | 1.1x | 103 | 77% |
| 볼린저 밴드 돌파 n=58, k=3 |
0.3% | -60.8% | 0.09 | 0.00 | 1.1x | 40 | 12% |
| EMA 크로스오버 fast=41, slow=75 |
-1.5% | -84.2% | 0.08 | -0.02 | 0.6x | 95 | 48% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=4 |
0.1% | -30.0% | 0.05 | 0.00 | 1.0x | 28 | 3% |
| ROC 모멘텀 n=82, threshold=0.08 |
-3.1% | -89.9% | -0.03 | -0.03 | 0.3x | 384 | 34% |
| Supertrend period=16, mult=4.4 |
-5.7% | -92.6% | -0.07 | -0.06 | 0.1x | 153 | 50% |
| MACD fast=14, slow=55, signal=14 |
-8.4% | -97.0% | -0.17 | -0.09 | 0.1x | 437 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-9.3% | -96.8% | -0.20 | -0.10 | 0.0x | 451 | 50% |
| Buy and hold | 3.7% | -84.7% | 0.29 | 0.04 | 3.3x | 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, 32-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)