Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Neinor Homes SA backtest
10 trend-following strategies were compared on the full daily history of Neinor Homes SA. 8 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 4.1%, MDD -9.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -65.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -9.3%, Sharpe 0.59, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 4.1%, MDD -9.3%, exposure 8%).
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=36, threshold=23 |
4.1% | -9.3% | 0.59 | 0.44 | 1.5x | 6 | 8% |
| MACD fast=32, slow=43, signal=30 |
1.9% | -31.9% | 0.20 | 0.06 | 1.2x | 63 | 48% |
| Donchian 채널 돌파 entryN=106, exitN=70 |
1.8% | -26.1% | 0.19 | 0.07 | 1.2x | 8 | 40% |
| SMA 크로스오버 fast=14, slow=43 |
1.7% | -27.4% | 0.18 | 0.06 | 1.2x | 62 | 52% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
1.1% | -26.8% | 0.16 | 0.04 | 1.1x | 20 | 19% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=16, mult=3.9 |
0.8% | -16.4% | 0.13 | 0.05 | 1.1x | 10 | 14% |
| Supertrend period=16, mult=2.6 |
0.4% | -53.7% | 0.11 | 0.01 | 1.0x | 58 | 55% |
| EMA 크로스오버 fast=29, slow=54 |
0.3% | -43.8% | 0.10 | 0.01 | 1.0x | 32 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.2% | -47.9% | -0.09 | -0.07 | 0.7x | 80 | 52% |
| ROC 모멘텀 n=61, threshold=0.08 |
-2.2% | -39.7% | -0.11 | -0.06 | 0.8x | 96 | 26% |
| Buy and hold | -0.8% | -65.1% | 0.11 | -0.01 | 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, 36-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)