Trend-Following Backtester · Guide · backtest 한국어
equity · US
Waste Management, Inc. backtest
10 trend-following strategies were compared on the full daily history of Waste Management, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -77.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.8%, MDD -33.3%, Sharpe 0.44, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.9%, MDD -74.7%, exposure 89%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=24 |
5.8% | -33.3% | 0.44 | 0.17 | 8.5x | 46 | 12% |
| Donchian 채널 돌파 entryN=8, exitN=79 |
8.9% | -74.7% | 0.43 | 0.12 | 25.9x | 101 | 89% |
| ROC 모멘텀 n=166, threshold=-0.12 |
8.1% | -71.0% | 0.42 | 0.11 | 19.6x | 149 | 86% |
| SMA 크로스오버 fast=12, slow=204 |
7.3% | -67.8% | 0.41 | 0.11 | 14.5x | 87 | 68% |
| EMA 크로스오버 fast=37, slow=99 |
6.6% | -62.0% | 0.39 | 0.11 | 11.5x | 89 | 65% |
| 볼린저 밴드 돌파 n=31, k=1.4 |
4.3% | -57.3% | 0.30 | 0.08 | 5.0x | 342 | 43% |
| MACD fast=17, slow=51, signal=19 |
4.5% | -65.3% | 0.30 | 0.07 | 5.3x | 405 | 51% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=26, mult=2.4 |
3.9% | -47.4% | 0.29 | 0.08 | 4.3x | 164 | 42% |
| Supertrend period=11, mult=3.2 |
4.3% | -54.9% | 0.29 | 0.08 | 5.0x | 239 | 58% |
| Parabolic SAR step=0.005, maxStep=0.24 |
3.3% | -67.8% | 0.25 | 0.05 | 3.5x | 310 | 55% |
| Buy and hold | 10.7% | -77.9% | 0.47 | 0.14 | 48.7x | 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 ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)