Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genius Sports Limited backtest
10 trend-following strategies were compared on the full daily history of Genius Sports Limited. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.5%, MDD -13.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.2%, drawdown -91.0%).
Sharpe leader (same as main): Supertrend — CAGR 27.4%, MDD -39.0%, Sharpe 0.72, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.6%p higher than buy and hold, while drawdown improves by 52.0%p (CAGR 11.5%, MDD -13.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3.8 |
27.4% | -39.0% | 0.72 | 0.70 | 4.1x | 23 | 52% |
| ADX / DI 방향성 period=14, threshold=47 |
11.5% | -13.0% | 0.70 | 0.88 | 1.9x | 2 | 3% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
13.8% | -18.6% | 0.68 | 0.74 | 2.1x | 8 | 9% |
| Donchian 채널 돌파 entryN=29, exitN=76 |
22.7% | -54.8% | 0.63 | 0.41 | 3.3x | 11 | 67% |
| SMA 크로스오버 fast=12, slow=42 |
17.2% | -44.3% | 0.57 | 0.39 | 2.5x | 41 | 48% |
| ROC 모멘텀 n=28, threshold=0.04 |
14.7% | -54.9% | 0.53 | 0.27 | 2.2x | 105 | 41% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=12, mult=1.6 |
13.5% | -38.6% | 0.53 | 0.35 | 2.1x | 41 | 28% |
| EMA 크로스오버 fast=7, slow=34 |
10.2% | -62.9% | 0.44 | 0.16 | 1.8x | 47 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
4.1% | -70.8% | 0.31 | 0.06 | 1.3x | 53 | 46% |
| MACD fast=36, slow=49, signal=16 |
2.2% | -81.0% | 0.29 | 0.03 | 1.1x | 37 | 53% |
| Buy and hold | -6.2% | -91.0% | 0.26 | -0.07 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)