Trend-Following Backtester · Guide · Strategies 한국어
Strategies
ADX / DI directional
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
The rules
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)
Those numbers are the values optimized for Bitcoin. They differ per asset — the table below lists each.
There are 2 tunable values: period, threshold. Fewer knobs make it harder to fit noise, so a count this low keeps overfitting risk relatively contained.
Results by asset
The same strategy across 5 very different assets, each over its full history, with parameters optimized per asset. It beat buy and hold on 3 of 5.
| Asset · parameters | CAGR | Hold CAGR | Max drawdown | Hold DD | Sharpe | Trades | Time in market |
|---|---|---|---|---|---|---|---|
| Bitcoin period=24, threshold=12 |
64.9% | 43.0% | -43.3% | -86.8% | 1.43 | 121 | 46% |
| Ethereum period=16, threshold=11 |
81.1% | 29.8% | -43.1% | -95.6% | 1.40 | 167 | 46% |
| XRP (Ripple) period=8, threshold=38 |
109.7% | 28.3% | -56.2% | -95.9% | 1.34 | 123 | 23% |
| Samsung Electronics period=34, threshold=20 |
5.5% | 15.2% | -43.6% | -64.8% | 0.43 | 36 | 12% |
| Apple (AAPL) period=97, threshold=5 |
14.0% | 18.6% | -82.3% | -82.2% | 0.60 | 293 | 55% |
When this one works
ADX / DI directional belongs to the trend-following family. All of them earn in sustained directional moves and bleed costs in range-bound markets. The trade count and time in market columns above show how each variant leans.