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.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.0%, MDD -4.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.1%, drawdown -74.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.5%, MDD -13.7%, Sharpe 0.52, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 60.3%p (CAGR 2.0%, MDD -4.7%, exposure 2%).
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=39, threshold=23 |
4.5% | -13.7% | 0.52 | 0.33 | 1.3x | 10 | 14% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=3.8 |
2.0% | -4.7% | 0.44 | 0.42 | 1.1x | 2 | 2% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
1.7% | -14.2% | 0.31 | 0.12 | 1.1x | 2 | 3% |
| ROC 모멘텀 n=4, threshold=0.14 |
0.6% | -6.8% | 0.17 | 0.10 | 1.0x | 14 | 1% |
| SMA 크로스오버 fast=54, slow=170 |
0.5% | -46.2% | 0.15 | 0.01 | 1.0x | 10 | 46% |
| Donchian 채널 돌파 entryN=94, exitN=16 |
-0.0% | -30.4% | 0.06 | -0.00 | 1.0x | 12 | 11% |
| Supertrend period=20, mult=3.1 |
-5.5% | -56.2% | -0.08 | -0.10 | 0.7x | 42 | 47% |
| EMA 크로스오버 fast=34, slow=105 |
-7.2% | -62.5% | -0.17 | -0.12 | 0.6x | 18 | 45% |
| MACD fast=19, slow=43, signal=19 |
-10.2% | -66.6% | -0.19 | -0.15 | 0.5x | 62 | 53% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-8.8% | -59.4% | -0.22 | -0.15 | 0.5x | 48 | 46% |
| Buy and hold | -12.1% | -74.0% | -0.09 | -0.16 | 0.4x | 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, 39-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)