Trend-Following Backtester · Guide · backtest 한국어
equity · US
Optimum Communications, Inc. backtest
10 trend-following strategies were compared on the full daily history of Optimum Communications, Inc.. 10 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 1.2%, MDD -9.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -33.9%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -9.1%, Sharpe 0.27, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.5%, MDD -42.8%, exposure 29%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 35.0%p higher than buy and hold, while drawdown improves by 89.3%p (CAGR 1.2%, MDD -9.1%, 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=23, threshold=31 |
1.2% | -9.1% | 0.27 | 0.13 | 1.1x | 4 | 3% |
| SMA 크로스오버 fast=54, slow=145 |
3.5% | -42.8% | 0.27 | 0.08 | 1.4x | 12 | 29% |
| Donchian 채널 돌파 entryN=107, exitN=14 |
2.6% | -30.2% | 0.25 | 0.08 | 1.3x | 8 | 14% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=17, mult=3.8 |
1.0% | -12.9% | 0.18 | 0.08 | 1.1x | 6 | 6% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
0.7% | -27.4% | 0.12 | 0.03 | 1.1x | 14 | 16% |
| ROC 모멘텀 n=145, threshold=0.02 |
-0.5% | -54.4% | 0.09 | -0.01 | 1.0x | 54 | 28% |
| EMA 크로스오버 fast=73, slow=121 |
-3.0% | -50.3% | -0.02 | -0.06 | 0.8x | 10 | 30% |
| MACD fast=7, slow=22, signal=10 |
-26.3% | -96.8% | -0.39 | -0.27 | 0.1x | 202 | 48% |
| Supertrend period=23, mult=4.6 |
-19.9% | -87.7% | -0.45 | -0.23 | 0.1x | 30 | 42% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-26.2% | -95.8% | -0.58 | -0.27 | 0.1x | 294 | 48% |
| Buy and hold | -33.9% | -98.4% | -0.29 | -0.34 | 0.0x | 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, 23-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)