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 18.9%, drawdown -94.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.2%, MDD -56.5%, Sharpe 0.49, 34% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 16.7%, MDD -93.9%, exposure 57%.
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=32, threshold=21 |
9.2% | -56.5% | 0.49 | 0.16 | 8.4x | 54 | 34% |
| EMA 크로스오버 fast=24, slow=172 |
16.7% | -93.9% | 0.38 | 0.18 | 42.5x | 37 | 57% |
| SMA 크로스오버 fast=21, slow=174 |
16.6% | -94.7% | 0.38 | 0.18 | 42.1x | 41 | 57% |
| Donchian 채널 돌파 entryN=25, exitN=100 |
15.8% | -94.3% | 0.38 | 0.17 | 35.4x | 35 | 79% |
| ROC 모멘텀 n=145, threshold=-0.01 |
13.7% | -96.7% | 0.37 | 0.14 | 22.8x | 183 | 61% |
| Supertrend period=4, mult=5 |
-2.5% | -96.9% | 0.34 | -0.03 | 0.5x | 127 | 58% |
| MACD fast=18, slow=49, signal=16 |
-13.1% | -99.9% | 0.26 | -0.13 | 0.0x | 270 | 52% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
4.6% | -96.7% | 0.21 | 0.05 | 3.0x | 140 | 18% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=11, mult=3 |
-9.3% | -99.6% | 0.19 | -0.09 | 0.1x | 88 | 17% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-12.1% | -99.7% | 0.18 | -0.12 | 0.0x | 168 | 47% |
| Buy and hold | 18.9% | -94.6% | 0.39 | 0.20 | 67.0x | 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, 32-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)