Trend-Following Backtester · Guide · backtest 한국어
equity · US
Janus International Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Janus International Group, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.8%, MDD -14.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -9.4%, drawdown -69.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.4%, MDD -15.6%, Sharpe 0.52, 14% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 54.3%p (CAGR 1.8%, MDD -14.2%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=43, threshold=23 |
4.4% | -15.6% | 0.52 | 0.28 | 1.3x | 6 | 14% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
1.8% | -14.2% | 0.32 | 0.13 | 1.1x | 2 | 3% |
| ROC 모멘텀 n=149, threshold=0.09 |
3.9% | -35.8% | 0.29 | 0.11 | 1.3x | 38 | 33% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=20, mult=4 |
1.2% | -15.2% | 0.19 | 0.08 | 1.1x | 6 | 6% |
| Donchian 채널 돌파 entryN=109, exitN=8 |
-0.6% | -33.6% | -0.00 | -0.02 | 1.0x | 14 | 10% |
| SMA 크로스오버 fast=48, slow=185 |
-4.2% | -53.3% | -0.03 | -0.08 | 0.8x | 10 | 46% |
| Supertrend period=14, mult=2.9 |
-5.3% | -54.8% | -0.08 | -0.10 | 0.7x | 45 | 48% |
| MACD fast=18, slow=41, signal=21 |
-7.8% | -65.1% | -0.10 | -0.12 | 0.6x | 60 | 54% |
| EMA 크로스오버 fast=50, slow=68 |
-8.1% | -62.9% | -0.19 | -0.13 | 0.6x | 18 | 46% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-16.2% | -74.8% | -0.58 | -0.22 | 0.3x | 137 | 52% |
| Buy and hold | -9.4% | -69.9% | -0.02 | -0.13 | 0.5x | 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, 43-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)