Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Dexco SA backtest
10 trend-following strategies were compared on the full daily history of Dexco SA. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -14.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -77.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -20.4%, Sharpe 0.58, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.6%, MDD -55.8%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR 3.3%, MDD -14.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.5 |
6.5% | -20.4% | 0.58 | 0.32 | 3.3x | 4 | 6% |
| ADX / DI 방향성 period=33, threshold=31 |
3.3% | -14.9% | 0.51 | 0.22 | 1.8x | 2 | 3% |
| EMA 크로스오버 fast=17, slow=78 |
7.6% | -55.8% | 0.41 | 0.14 | 4.0x | 59 | 47% |
| MACD fast=19, slow=41, signal=15 |
7.4% | -64.9% | 0.39 | 0.11 | 3.8x | 203 | 49% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=8, mult=2.2 |
5.5% | -51.0% | 0.36 | 0.11 | 2.7x | 86 | 27% |
| SMA 크로스오버 fast=13, slow=30 |
5.9% | -62.7% | 0.35 | 0.09 | 3.0x | 145 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
5.0% | -78.6% | 0.31 | 0.06 | 2.5x | 157 | 48% |
| Supertrend period=21, mult=3.7 |
4.6% | -69.9% | 0.30 | 0.07 | 2.4x | 80 | 49% |
| Donchian 채널 돌파 entryN=51, exitN=64 |
4.4% | -68.6% | 0.29 | 0.06 | 2.2x | 42 | 53% |
| ROC 모멘텀 n=30, threshold=0.12 |
0.7% | -61.2% | 0.13 | 0.01 | 1.1x | 232 | 20% |
| Buy and hold | -1.1% | -77.9% | 0.19 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average