Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Simpar SA backtest
10 trend-following strategies were compared on the full daily history of Simpar SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -5.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.7%, drawdown -83.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.0%, MDD -5.7%, Sharpe 0.89, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.6%, MDD -53.4%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 78.2%p (CAGR 1.9%, MDD -5.2%, 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=17, threshold=39 |
5.0% | -5.7% | 0.89 | 0.88 | 1.3x | 2 | 3% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
1.9% | -5.2% | 0.54 | 0.36 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=49, slow=56 |
5.6% | -53.4% | 0.33 | 0.10 | 1.4x | 40 | 45% |
| MACD fast=6, slow=44, signal=13 |
4.5% | -41.6% | 0.30 | 0.11 | 1.3x | 99 | 49% |
| ROC 모멘텀 n=111, threshold=0.09 |
4.5% | -52.7% | 0.30 | 0.09 | 1.3x | 22 | 30% |
| Donchian 채널 돌파 entryN=75, exitN=76 |
1.0% | -55.7% | 0.21 | 0.02 | 1.1x | 8 | 47% |
| Supertrend period=30, mult=4.2 |
0.9% | -51.1% | 0.19 | 0.02 | 1.1x | 22 | 42% |
| Parabolic SAR step=0.075, maxStep=0.14 |
-0.9% | -70.3% | 0.15 | -0.01 | 0.9x | 195 | 48% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=1.8 |
-0.4% | -41.9% | 0.08 | -0.01 | 1.0x | 36 | 16% |
| EMA 크로스오버 fast=20, slow=58 |
-9.6% | -75.7% | -0.12 | -0.13 | 0.5x | 26 | 43% |
| Buy and hold | -12.7% | -83.9% | 0.00 | -0.15 | 0.4x | 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, 17-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)