Trend-Following Backtester · Guide · backtest 한국어
equity · EG
Abou Kir Fertilizers & Chemical Industries Co. backtest
10 trend-following strategies were compared on the full daily history of Abou Kir Fertilizers & Chemical Industries Co.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.2%, drawdown -94.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.5%, MDD -56.3%, Sharpe 0.58, 37% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.7%, MDD -94.9%, exposure 58%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=43, threshold=19 |
11.5% | -56.3% | 0.58 | 0.20 | 13.8x | 32 | 37% |
| SMA 크로스오버 fast=19, slow=83 |
16.7% | -94.9% | 0.38 | 0.18 | 42.1x | 82 | 58% |
| EMA 크로스오버 fast=26, slow=169 |
15.8% | -93.9% | 0.38 | 0.17 | 34.8x | 37 | 57% |
| Donchian 채널 돌파 entryN=27, exitN=99 |
15.1% | -94.3% | 0.38 | 0.16 | 29.9x | 35 | 79% |
| ROC 모멘텀 n=141, threshold=-0.01 |
12.3% | -97.7% | 0.37 | 0.13 | 16.4x | 203 | 61% |
| Supertrend period=4, mult=5 |
-2.8% | -96.9% | 0.34 | -0.03 | 0.5x | 126 | 58% |
| MACD fast=19, slow=54, signal=18 |
-13.8% | -99.8% | 0.26 | -0.14 | 0.0x | 237 | 51% |
| 볼린저 밴드 돌파 n=15, k=2.8 |
4.6% | -96.8% | 0.21 | 0.05 | 3.0x | 126 | 14% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-12.8% | -99.7% | 0.18 | -0.13 | 0.0x | 166 | 46% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=19, mult=3.4 |
-19.5% | -100.0% | 0.17 | -0.19 | 0.0x | 86 | 32% |
| Buy and hold | 18.2% | -94.6% | 0.39 | 0.19 | 57.0x | 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, 43-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)