Trend-Following Backtester · Guide · backtest 한국어
equity · CH
SoftwareOne Holding Ltd. backtest
10 trend-following strategies were compared on the full daily history of SoftwareOne Holding Ltd.. 10 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 1.0%, MDD -1.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.3%, drawdown -83.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -1.6%, Sharpe 0.56, 0% exposure.
CAGR reference leader: Supertrend — CAGR 6.4%, MDD -47.1%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.3%p higher than buy and hold, while drawdown improves by 82.3%p (CAGR 1.0%, MDD -1.6%, exposure 0%).
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=51, threshold=24 |
1.0% | -1.6% | 0.56 | 0.64 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
4.6% | -16.3% | 0.56 | 0.28 | 1.4x | 12 | 7% |
| Supertrend period=19, mult=3.1 |
6.4% | -47.1% | 0.36 | 0.14 | 1.5x | 42 | 52% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=2.4 |
3.6% | -17.4% | 0.36 | 0.21 | 1.3x | 14 | 7% |
| SMA 크로스오버 fast=20, slow=44 |
5.8% | -37.6% | 0.35 | 0.15 | 1.5x | 41 | 46% |
| ROC 모멘텀 n=28, threshold=0.11 |
4.5% | -31.1% | 0.34 | 0.14 | 1.4x | 82 | 18% |
| Donchian 채널 돌파 entryN=7, exitN=44 |
3.6% | -59.1% | 0.27 | 0.06 | 1.3x | 41 | 75% |
| MACD fast=9, slow=25, signal=7 |
3.8% | -56.9% | 0.27 | 0.07 | 1.3x | 138 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
2.3% | -42.8% | 0.22 | 0.05 | 1.2x | 114 | 48% |
| EMA 크로스오버 fast=13, slow=101 |
-0.7% | -37.6% | 0.09 | -0.02 | 1.0x | 19 | 41% |
| Buy and hold | -13.3% | -83.9% | -0.08 | -0.16 | 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, 51-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)