Trend-Following Backtester · Guide · backtest 한국어
equity · CH
DKSH Holding Ltd backtest
10 trend-following strategies were compared on the full daily history of DKSH Holding Ltd. 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 1.8%, MDD -9.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.1%, drawdown -50.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -9.4%, Sharpe 0.52, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.5%, MDD -50.4%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 41.1%p (CAGR 1.8%, MDD -9.4%, exposure 2%).
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=28, threshold=35 |
1.8% | -9.4% | 0.52 | 0.20 | 1.3x | 2 | 2% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
1.3% | -15.3% | 0.29 | 0.08 | 1.2x | 10 | 6% |
| ROC 모멘텀 Hold-like · Exposure 99% n=4, threshold=-0.11 |
3.5% | -50.4% | 0.27 | 0.07 | 1.7x | 13 | 99% |
| SMA 크로스오버 fast=43, slow=217 |
2.1% | -38.7% | 0.21 | 0.06 | 1.4x | 21 | 53% |
| Donchian 채널 돌파 entryN=56, exitN=79 |
1.1% | -50.6% | 0.15 | 0.02 | 1.2x | 25 | 61% |
| EMA 크로스오버 fast=58, slow=87 |
-0.1% | -58.1% | 0.08 | -0.00 | 1.0x | 27 | 56% |
| Supertrend period=14, mult=2.5 |
-0.9% | -54.0% | 0.03 | -0.02 | 0.9x | 113 | 53% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.7 |
-0.1% | -2.8% | -0.10 | -0.03 | 1.0x | 2 | 1% |
| MACD fast=18, slow=25, signal=14 |
-3.8% | -59.5% | -0.16 | -0.06 | 0.6x | 201 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.6% | -69.9% | -0.21 | -0.07 | 0.5x | 233 | 50% |
| Buy and hold | 2.1% | -50.4% | 0.21 | 0.04 | 1.4x | 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, 28-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)