Trend-Following Backtester · Guide · backtest 한국어
equity · US
Quad Graphics, Inc backtest
10 trend-following strategies were compared on the full daily history of Quad Graphics, Inc. 8 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 1.8%, MDD -7.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -9.1%, drawdown -95.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -7.8%, Sharpe 0.37, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.9%p higher than buy and hold, while drawdown improves by 87.9%p (CAGR 1.8%, MDD -7.8%, exposure 1%).
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=30, threshold=37 |
1.8% | -7.8% | 0.37 | 0.23 | 1.3x | 2 | 1% |
| 볼린저 밴드 돌파 n=12, k=3.2 |
1.2% | -21.1% | 0.25 | 0.06 | 1.2x | 4 | 1% |
| ROC 모멘텀 n=155, threshold=0.01 |
1.8% | -73.2% | 0.23 | 0.02 | 1.3x | 129 | 44% |
| Donchian 채널 돌파 entryN=116, exitN=17 |
1.0% | -61.2% | 0.15 | 0.02 | 1.2x | 33 | 17% |
| SMA 크로스오버 fast=9, slow=199 |
-2.2% | -86.7% | 0.10 | -0.03 | 0.7x | 49 | 42% |
| Keltner 채널 돌파 emaPeriod=91, atrPeriod=29, mult=3.1 |
-1.7% | -84.4% | 0.07 | -0.02 | 0.8x | 39 | 26% |
| EMA 크로스오버 fast=42, slow=148 |
-3.3% | -88.1% | 0.06 | -0.04 | 0.6x | 31 | 41% |
| Supertrend period=32, mult=3.8 |
-5.6% | -92.9% | 0.06 | -0.06 | 0.4x | 73 | 47% |
| MACD fast=6, slow=32, signal=8 |
-10.6% | -87.4% | -0.02 | -0.12 | 0.2x | 375 | 51% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-14.8% | -95.0% | -0.16 | -0.16 | 0.1x | 281 | 47% |
| Buy and hold | -9.1% | -95.7% | 0.14 | -0.10 | 0.2x | 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, 30-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)