Trend-Following Backtester · Guide · backtest 한국어
equity · US
OUTFRONT Media Inc. backtest
10 trend-following strategies were compared on the full daily history of OUTFRONT Media Inc.. 7 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 1.7%, MDD -10.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.3%, drawdown -77.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -12.2%, Sharpe 0.42, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 3.2%, MDD -12.7%, exposure 10%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 65.1%p (CAGR 1.7%, MDD -10.8%, exposure 4%).
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=36, threshold=27 |
2.3% | -12.2% | 0.42 | 0.19 | 1.3x | 4 | 4% |
| 볼린저 밴드 돌파 n=29, k=3.4 |
3.2% | -12.7% | 0.41 | 0.25 | 1.5x | 16 | 10% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=12, mult=3.8 |
1.7% | -10.8% | 0.30 | 0.16 | 1.2x | 6 | 4% |
| SMA 크로스오버 fast=9, slow=189 |
2.8% | -42.1% | 0.23 | 0.07 | 1.4x | 29 | 49% |
| EMA 크로스오버 fast=5, slow=191 |
2.7% | -39.8% | 0.23 | 0.07 | 1.4x | 45 | 48% |
| ROC 모멘텀 n=178, threshold=0.06 |
2.2% | -47.2% | 0.21 | 0.05 | 1.3x | 75 | 39% |
| Supertrend period=28, mult=4.9 |
1.3% | -60.3% | 0.18 | 0.02 | 1.2x | 37 | 59% |
| Donchian 채널 돌파 entryN=109, exitN=103 |
-0.3% | -55.2% | 0.09 | -0.01 | 1.0x | 13 | 43% |
| MACD fast=17, slow=57, signal=15 |
-4.0% | -71.3% | -0.04 | -0.06 | 0.6x | 152 | 48% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-8.3% | -77.6% | -0.18 | -0.11 | 0.3x | 180 | 54% |
| Buy and hold | -0.3% | -77.3% | 0.21 | -0.00 | 1.0x | 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, 36-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)