Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Chemtrade Logistics Income Fund backtest
10 trend-following strategies were compared on the full daily history of Chemtrade Logistics Income Fund. 2 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 2.2%, MDD -21.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.9%, drawdown -84.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -21.4%, Sharpe 0.35, 8% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.6%, MDD -68.0%, exposure 63%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 62.7%p (CAGR 2.2%, MDD -21.4%, exposure 8%).
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=37, threshold=25 |
2.2% | -21.4% | 0.35 | 0.10 | 1.7x | 26 | 8% |
| Donchian 채널 돌파 entryN=41, exitN=51 |
3.6% | -68.0% | 0.27 | 0.05 | 2.4x | 65 | 63% |
| SMA 크로스오버 fast=28, slow=96 |
1.8% | -66.1% | 0.19 | 0.03 | 1.6x | 82 | 56% |
| EMA 크로스오버 fast=45, slow=77 |
1.8% | -61.1% | 0.19 | 0.03 | 1.5x | 63 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=21, mult=3.7 |
1.6% | -38.0% | 0.19 | 0.04 | 1.5x | 54 | 24% |
| ROC 모멘텀 n=99, threshold=-0.06 |
1.1% | -62.1% | 0.16 | 0.02 | 1.3x | 165 | 71% |
| 볼린저 밴드 돌파 n=50, k=2.6 |
1.2% | -47.9% | 0.16 | 0.03 | 1.4x | 66 | 23% |
| Supertrend period=28, mult=4 |
0.6% | -70.3% | 0.13 | 0.01 | 1.2x | 112 | 60% |
| Parabolic SAR step=0.01, maxStep=0.12 |
0.0% | -75.2% | 0.11 | 0.00 | 1.0x | 296 | 54% |
| MACD fast=11, slow=57, signal=19 |
-1.6% | -74.4% | 0.03 | -0.02 | 0.7x | 313 | 50% |
| Buy and hold | 1.9% | -84.1% | 0.22 | 0.02 | 1.6x | 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, 37-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)