Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Extendicare Inc. backtest
10 trend-following strategies were compared on the full daily history of Extendicare Inc.. 1 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 8.6%, MDD -13.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -53.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.6%, MDD -13.4%, Sharpe 0.77, 19% exposure.
CAGR reference leader: Supertrend — CAGR 11.9%, MDD -35.9%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 39.8%p (CAGR 8.6%, MDD -13.4%, exposure 19%).
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=39, threshold=18 |
8.6% | -13.4% | 0.77 | 0.64 | 3.1x | 23 | 19% |
| Donchian 채널 돌파 entryN=50, exitN=19 |
11.1% | -31.3% | 0.72 | 0.35 | 4.3x | 44 | 39% |
| Supertrend period=8, mult=4.8 |
11.9% | -35.9% | 0.70 | 0.33 | 4.7x | 37 | 49% |
| SMA 크로스오버 fast=46, slow=179 |
11.2% | -43.0% | 0.67 | 0.26 | 4.4x | 17 | 55% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=1.5 |
10.5% | -33.9% | 0.66 | 0.31 | 4.0x | 69 | 43% |
| 볼린저 밴드 돌파 n=44, k=2 |
9.9% | -32.1% | 0.65 | 0.31 | 3.7x | 59 | 38% |
| ROC 모멘텀 n=170, threshold=0.06 |
10.0% | -40.6% | 0.64 | 0.25 | 3.7x | 79 | 45% |
| EMA 크로스오버 fast=32, slow=195 |
10.3% | -41.7% | 0.63 | 0.25 | 3.9x | 19 | 55% |
| Parabolic SAR step=0.01, maxStep=0.06 |
7.3% | -49.2% | 0.45 | 0.15 | 2.6x | 150 | 57% |
| MACD fast=20, slow=41, signal=23 |
4.7% | -50.1% | 0.34 | 0.09 | 1.9x | 122 | 51% |
| Buy and hold | 11.4% | -53.2% | 0.54 | 0.21 | 4.4x | 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, 39-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)