Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Companhia Siderurgica Nacional backtest
10 trend-following strategies were compared on the full daily history of Companhia Siderurgica Nacional. 10 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 7.6%, MDD -26.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.0%, drawdown -93.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.6%, MDD -26.0%, Sharpe 0.65, 7% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 14.9%, MDD -69.5%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 67.5%p (CAGR 7.6%, MDD -26.0%, exposure 7%).
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=31, threshold=28 |
7.6% | -26.0% | 0.65 | 0.29 | 7.1x | 16 | 7% |
| 볼린저 밴드 돌파 n=48, k=0.8 |
14.9% | -69.5% | 0.59 | 0.21 | 40.3x | 181 | 45% |
| MACD fast=19, slow=68, signal=16 |
14.3% | -76.0% | 0.55 | 0.19 | 35.5x | 267 | 52% |
| SMA 크로스오버 fast=6, slow=46 |
13.3% | -74.1% | 0.53 | 0.18 | 27.7x | 173 | 52% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=12, mult=0.4 |
12.7% | -88.6% | 0.52 | 0.14 | 24.0x | 371 | 48% |
| Supertrend period=17, mult=2.4 |
12.3% | -66.4% | 0.51 | 0.19 | 22.1x | 243 | 49% |
| Donchian 채널 돌파 entryN=16, exitN=24 |
11.6% | -89.8% | 0.48 | 0.13 | 18.5x | 149 | 58% |
| EMA 크로스오버 fast=16, slow=104 |
9.7% | -68.3% | 0.45 | 0.14 | 11.8x | 76 | 47% |
| ROC 모멘텀 n=23, threshold=0 |
6.0% | -91.2% | 0.34 | 0.07 | 4.7x | 502 | 52% |
| Parabolic SAR step=0.025, maxStep=0.22 |
1.4% | -80.0% | 0.22 | 0.02 | 1.4x | 639 | 49% |
| Buy and hold | 1.0% | -93.5% | 0.28 | 0.01 | 1.3x | 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, 31-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)