Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Solar A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Solar A/S Class B. 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 3.7%, MDD -13.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.3%, drawdown -82.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.7%, MDD -13.1%, Sharpe 0.59, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.8%, MDD -52.0%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 69.2%p (CAGR 3.7%, MDD -13.1%, exposure 9%).
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=79, threshold=29 |
3.7% | -13.1% | 0.59 | 0.28 | 2.6x | 4 | 9% |
| Donchian 채널 돌파 entryN=89, exitN=50 |
9.8% | -52.0% | 0.56 | 0.19 | 12.1x | 37 | 47% |
| SMA 크로스오버 fast=6, slow=171 |
9.3% | -47.7% | 0.53 | 0.19 | 10.7x | 61 | 53% |
| EMA 크로스오버 fast=19, slow=162 |
9.0% | -42.8% | 0.52 | 0.21 | 10.0x | 39 | 52% |
| ROC 모멘텀 n=162, threshold=0.08 |
6.1% | -53.7% | 0.42 | 0.11 | 4.8x | 126 | 40% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=24, mult=2.6 |
2.4% | -56.6% | 0.22 | 0.04 | 1.9x | 96 | 41% |
| Supertrend period=8, mult=3.9 |
1.4% | -67.3% | 0.17 | 0.02 | 1.4x | 155 | 53% |
| Parabolic SAR step=0.015, maxStep=0.08 |
0.5% | -65.8% | 0.13 | 0.01 | 1.1x | 332 | 52% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
0.4% | -66.4% | 0.11 | 0.01 | 1.1x | 93 | 34% |
| MACD fast=15, slow=34, signal=18 |
-2.3% | -68.2% | -0.00 | -0.03 | 0.5x | 334 | 49% |
| Buy and hold | -0.3% | -82.3% | 0.15 | -0.00 | 0.9x | 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, 79-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)