Trend-Following Backtester · Guide · backtest 한국어
equity · US
Moelis & Company backtest
10 trend-following strategies were compared on the full daily history of Moelis & Company. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.5%, MDD -43.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -64.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.8%, MDD -10.5%, Sharpe 0.52, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.5%, MDD -43.4%, exposure 41%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 53.9%p (CAGR 6.5%, MDD -43.4%, exposure 41%).
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=32, threshold=27 |
3.8% | -10.5% | 0.52 | 0.36 | 1.6x | 10 | 7% |
| ROC 모멘텀 n=144, threshold=0.09 |
6.5% | -43.4% | 0.41 | 0.15 | 2.2x | 72 | 41% |
| Supertrend period=18, mult=4.7 |
6.0% | -55.8% | 0.36 | 0.11 | 2.1x | 39 | 55% |
| Donchian 채널 돌파 entryN=82, exitN=55 |
3.5% | -54.3% | 0.27 | 0.07 | 1.5x | 19 | 41% |
| EMA 크로스오버 fast=57, slow=199 |
3.2% | -53.2% | 0.25 | 0.06 | 1.5x | 17 | 47% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
1.9% | -31.2% | 0.21 | 0.06 | 1.3x | 22 | 18% |
| SMA 크로스오버 fast=48, slow=172 |
1.7% | -55.3% | 0.19 | 0.03 | 1.2x | 23 | 53% |
| MACD fast=22, slow=51, signal=22 |
1.4% | -47.4% | 0.17 | 0.03 | 1.2x | 108 | 46% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=2.7 |
0.8% | -37.5% | 0.13 | 0.02 | 1.1x | 46 | 29% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.2% | -44.1% | 0.13 | 0.00 | 1.0x | 172 | 51% |
| Buy and hold | 7.9% | -64.4% | 0.39 | 0.12 | 2.6x | 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, 32-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)