Trend-Following Backtester · Guide · backtest 한국어
equity · US
Proto Labs, Inc. backtest
10 trend-following strategies were compared on the full daily history of Proto Labs, Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.9%, MDD -65.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.8%, drawdown -91.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -6.7%, Sharpe 0.47, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.9%, MDD -65.2%, exposure 47%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.0%p lower than buy and hold, while drawdown improves by 84.5%p (CAGR 9.9%, MDD -65.2%, exposure 47%).
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=51, threshold=27 |
1.8% | -6.7% | 0.47 | 0.26 | 1.3x | 2 | 2% |
| EMA 크로스오버 fast=8, slow=183 |
9.9% | -65.2% | 0.46 | 0.15 | 3.9x | 31 | 47% |
| SMA 크로스오버 fast=16, slow=183 |
8.4% | -69.9% | 0.42 | 0.12 | 3.2x | 27 | 48% |
| ROC 모멘텀 n=128, threshold=0.04 |
6.6% | -61.9% | 0.36 | 0.11 | 2.5x | 121 | 46% |
| Donchian 채널 돌파 entryN=100, exitN=29 |
5.2% | -49.9% | 0.32 | 0.10 | 2.1x | 25 | 35% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=3 |
2.9% | -45.2% | 0.24 | 0.06 | 1.5x | 46 | 32% |
| Supertrend period=14, mult=5 |
1.2% | -71.8% | 0.20 | 0.02 | 1.2x | 43 | 53% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
-0.8% | -55.8% | 0.10 | -0.01 | 0.9x | 58 | 34% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-5.9% | -83.7% | -0.01 | -0.07 | 0.4x | 378 | 51% |
| MACD fast=19, slow=44, signal=19 |
-9.3% | -86.3% | -0.14 | -0.11 | 0.2x | 164 | 52% |
| Buy and hold | 6.8% | -91.2% | 0.37 | 0.07 | 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, 51-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)