Trend-Following Backtester · Guide · backtest 한국어
equity · US
Fiverr International Ltd. backtest
10 trend-following strategies were compared on the full daily history of Fiverr International Ltd.. 10 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 26.4%, MDD -27.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.0%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 26.4%, MDD -27.7%, Sharpe 1.10, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 45.4%p higher than buy and hold, while drawdown improves by 69.5%p (CAGR 26.4%, MDD -27.7%, exposure 10%).
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=48, threshold=21 |
26.4% | -27.7% | 1.10 | 0.95 | 5.3x | 2 | 10% |
| EMA 크로스오버 fast=41, slow=209 |
21.6% | -59.8% | 0.73 | 0.36 | 4.0x | 6 | 27% |
| Donchian 채널 돌파 entryN=109, exitN=74 |
21.2% | -67.6% | 0.68 | 0.31 | 3.9x | 6 | 26% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.7 |
17.4% | -51.5% | 0.65 | 0.34 | 3.1x | 18 | 22% |
| SMA 크로스오버 fast=32, slow=122 |
20.5% | -72.5% | 0.64 | 0.28 | 3.8x | 14 | 37% |
| ROC 모멘텀 n=105, threshold=0.11 |
18.8% | -61.6% | 0.64 | 0.30 | 3.4x | 40 | 27% |
| Supertrend period=19, mult=4.7 |
9.6% | -77.6% | 0.43 | 0.12 | 1.9x | 18 | 47% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
2.7% | -72.3% | 0.24 | 0.04 | 1.2x | 18 | 22% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-5.5% | -89.1% | 0.13 | -0.06 | 0.7x | 64 | 45% |
| MACD fast=18, slow=49, signal=17 |
-9.6% | -87.9% | 0.02 | -0.11 | 0.5x | 84 | 51% |
| Buy and hold | -19.0% | -97.2% | 0.03 | -0.20 | 0.2x | 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, 48-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)