Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Life & Banc Split Corp A 2006-29.11.18 Ext to 30.10.23 Further Ext to 30.10.28 backtest
10 trend-following strategies were compared on the full daily history of Life & Banc Split Corp A 2006-29.11.18 Ext to 30.10.23 Further Ext to 30.10.28. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.9%, MDD -30.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.1%, drawdown -86.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.3%, MDD -38.8%, Sharpe 0.54, 29% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 6.9%, MDD -30.0%, exposure 34%).
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=36, threshold=12 |
8.3% | -38.8% | 0.54 | 0.21 | 4.9x | 114 | 29% |
| Donchian 채널 돌파 entryN=154, exitN=69 |
6.9% | -30.0% | 0.52 | 0.23 | 3.8x | 17 | 34% |
| EMA 크로스오버 fast=28, slow=209 |
7.0% | -45.5% | 0.48 | 0.15 | 3.8x | 21 | 47% |
| 볼린저 밴드 돌파 n=35, k=2 |
6.3% | -43.7% | 0.46 | 0.15 | 3.4x | 92 | 28% |
| SMA 크로스오버 fast=21, slow=149 |
7.0% | -58.4% | 0.45 | 0.12 | 3.9x | 45 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=2.5 |
5.7% | -45.6% | 0.41 | 0.12 | 3.0x | 70 | 32% |
| ROC 모멘텀 n=130, threshold=0.11 |
5.4% | -38.4% | 0.41 | 0.14 | 2.8x | 113 | 30% |
| Supertrend period=19, mult=5 |
5.2% | -47.9% | 0.34 | 0.11 | 2.7x | 60 | 55% |
| MACD fast=28, slow=63, signal=25 |
2.0% | -74.9% | 0.20 | 0.03 | 1.5x | 164 | 48% |
| Parabolic SAR step=0.04, maxStep=0.26 |
1.9% | -57.8% | 0.20 | 0.03 | 1.4x | 582 | 55% |
| Buy and hold | 1.1% | -86.8% | 0.24 | 0.01 | 1.2x | 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, 36-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)