Trend-Following Backtester · Guide · backtest 한국어
equity · US
FuboTV Inc. backtest
10 trend-following strategies were compared on the full daily history of FuboTV 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 10.8%, MDD -70.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -29.9%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.8%, MDD -70.9%, Sharpe 0.45, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 40.7%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 10.8%, MDD -70.9%, exposure 49%).
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=28, threshold=5 |
10.8% | -70.9% | 0.45 | 0.15 | 2.1x | 78 | 49% |
| Donchian 채널 돌파 entryN=18, exitN=33 |
2.9% | -84.3% | 0.41 | 0.03 | 1.2x | 22 | 53% |
| Supertrend period=26, mult=2.9 |
6.4% | -78.4% | 0.41 | 0.08 | 1.6x | 46 | 32% |
| SMA 크로스오버 fast=40, slow=162 |
5.8% | -84.3% | 0.38 | 0.07 | 1.5x | 10 | 43% |
| ROC 모멘텀 n=138, threshold=-0.02 |
0.6% | -74.1% | 0.34 | 0.01 | 1.0x | 46 | 45% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-9.0% | -90.3% | 0.27 | -0.10 | 0.5x | 142 | 40% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
-7.5% | -89.5% | 0.19 | -0.08 | 0.6x | 40 | 32% |
| EMA 크로스오버 fast=32, slow=55 |
-9.6% | -90.9% | 0.17 | -0.11 | 0.5x | 28 | 45% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=0.9 |
-14.3% | -86.6% | 0.05 | -0.17 | 0.3x | 70 | 31% |
| MACD fast=10, slow=38, signal=6 |
-38.7% | -98.1% | -0.05 | -0.39 | 0.0x | 180 | 49% |
| Buy and hold | -29.9% | -98.9% | 0.23 | -0.30 | 0.1x | 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, 28-day) is ≥ 5
- Sell — Sell when direction flips or the trend weakens (ADX < 5)