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. 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 1.6%, MDD -8.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.4%, drawdown -98.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -8.2%, Sharpe 0.47, 3% exposure.
CAGR reference leader: Supertrend — CAGR 5.3%, MDD -80.5%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 89.8%p (CAGR 1.6%, MDD -8.2%, exposure 3%).
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=34, threshold=41 |
1.6% | -8.2% | 0.47 | 0.20 | 1.5x | 4 | 3% |
| 볼린저 밴드 돌파 n=14, k=1.8 |
4.6% | -83.4% | 0.34 | 0.06 | 3.3x | 320 | 29% |
| EMA 크로스오버 fast=31, slow=116 |
5.1% | -62.8% | 0.33 | 0.08 | 3.8x | 53 | 49% |
| SMA 크로스오버 fast=16, slow=95 |
4.8% | -63.2% | 0.31 | 0.08 | 3.5x | 84 | 50% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=10, mult=1.2 |
3.1% | -86.0% | 0.28 | 0.04 | 2.2x | 238 | 34% |
| Supertrend period=4, mult=2.1 |
5.3% | -80.5% | 0.28 | 0.07 | 4.0x | 304 | 51% |
| Donchian 채널 돌파 entryN=32, exitN=91 |
2.6% | -91.9% | 0.28 | 0.03 | 2.0x | 47 | 69% |
| Parabolic SAR step=0.01, maxStep=0.08 |
4.4% | -80.3% | 0.26 | 0.05 | 3.2x | 264 | 49% |
| MACD fast=19, slow=41, signal=25 |
2.5% | -89.4% | 0.24 | 0.03 | 1.9x | 244 | 51% |
| ROC 모멘텀 n=69, threshold=0.08 |
-1.5% | -91.6% | 0.11 | -0.02 | 0.7x | 222 | 34% |
| Buy and hold | -2.4% | -98.0% | 0.20 | -0.02 | 0.5x | 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, 34-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)