Trend-Following Backtester · Guide · backtest 한국어
equity · US
Green Dot Corporation backtest
10 trend-following strategies were compared on the full daily history of Green Dot Corporation. 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 3.9%, MDD -6.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.3%, drawdown -93.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -6.4%, Sharpe 0.62, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.0%, MDD -58.6%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 86.7%p (CAGR 3.9%, MDD -6.4%, exposure 4%).
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=35, threshold=37 |
3.9% | -6.4% | 0.62 | 0.61 | 1.8x | 4 | 4% |
| SMA 크로스오버 fast=22, slow=138 |
9.0% | -58.6% | 0.42 | 0.15 | 4.0x | 35 | 46% |
| ROC 모멘텀 n=160, threshold=0.08 |
7.3% | -48.6% | 0.41 | 0.15 | 3.1x | 68 | 37% |
| EMA 크로스오버 fast=27, slow=159 |
7.5% | -55.8% | 0.40 | 0.13 | 3.2x | 23 | 43% |
| 볼린저 밴드 돌파 n=45, k=3 |
1.8% | -57.1% | 0.19 | 0.03 | 1.3x | 28 | 19% |
| Supertrend period=23, mult=4.7 |
-1.2% | -81.0% | 0.16 | -0.01 | 0.8x | 47 | 49% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=1.2 |
0.3% | -68.7% | 0.14 | 0.01 | 1.1x | 95 | 39% |
| Donchian 채널 돌파 entryN=59, exitN=55 |
-1.5% | -74.8% | 0.09 | -0.02 | 0.8x | 33 | 47% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-10.0% | -92.5% | -0.13 | -0.11 | 0.2x | 352 | 49% |
| MACD fast=8, slow=12, signal=4 |
-12.4% | -93.1% | -0.19 | -0.13 | 0.1x | 544 | 51% |
| Buy and hold | -7.3% | -93.2% | 0.14 | -0.08 | 0.3x | 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, 35-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)