Trend-Following Backtester · Guide · backtest 한국어
equity · DK
H+H International A/S backtest
10 trend-following strategies were compared on the full daily history of H+H International A/S. 9 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 5.0%, MDD -35.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.1%, drawdown -98.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.0%, MDD -35.4%, Sharpe 0.36, 17% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.4%, MDD -63.0%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 62.6%p (CAGR 5.0%, MDD -35.4%, exposure 17%).
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=16, threshold=31 |
5.0% | -35.4% | 0.36 | 0.14 | 3.6x | 120 | 17% |
| EMA 크로스오버 fast=32, slow=115 |
5.4% | -63.0% | 0.34 | 0.09 | 4.1x | 53 | 49% |
| 볼린저 밴드 돌파 n=41, k=1.5 |
4.6% | -86.8% | 0.33 | 0.05 | 3.3x | 142 | 35% |
| Donchian 채널 돌파 entryN=31, exitN=69 |
4.3% | -91.0% | 0.32 | 0.05 | 3.1x | 53 | 64% |
| Parabolic SAR step=0.025, maxStep=0.08 |
4.3% | -82.8% | 0.26 | 0.05 | 3.1x | 405 | 49% |
| SMA 크로스오버 fast=71, slow=125 |
3.3% | -69.4% | 0.26 | 0.05 | 2.4x | 53 | 49% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=17, mult=3.3 |
2.2% | -78.8% | 0.25 | 0.03 | 1.8x | 84 | 18% |
| MACD fast=17, slow=48, signal=24 |
2.8% | -89.4% | 0.24 | 0.03 | 2.1x | 237 | 51% |
| Supertrend period=21, mult=1.8 |
1.8% | -87.4% | 0.21 | 0.02 | 1.6x | 370 | 47% |
| ROC 모멘텀 n=69, threshold=0.1 |
-2.4% | -93.0% | 0.08 | -0.03 | 0.5x | 217 | 32% |
| Buy and hold | -2.1% | -98.0% | 0.21 | -0.02 | 0.6x | 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, 16-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)