Trend-Following Backtester · Guide · backtest 한국어
equity · IN
HEG Limited backtest
10 trend-following strategies were compared on the full daily history of HEG Limited. 5 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 16.7%, MDD -42.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 20.6%, drawdown -91.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.7%, MDD -42.0%, Sharpe 0.72, 22% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 33.1%, MDD -82.3%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 49.1%p (CAGR 16.7%, MDD -42.0%, exposure 22%).
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=27, threshold=24 |
16.7% | -42.0% | 0.72 | 0.40 | 41.4x | 68 | 22% |
| ROC 모멘텀 n=91, threshold=0.06 |
18.2% | -88.5% | 0.68 | 0.21 | 56.0x | 187 | 47% |
| 볼린저 밴드 돌파 n=18, k=1.1 |
17.4% | -86.4% | 0.67 | 0.20 | 47.5x | 333 | 40% |
| MACD fast=7, slow=72, signal=16 |
14.7% | -87.1% | 0.60 | 0.17 | 27.4x | 333 | 49% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=29, mult=1.5 |
13.4% | -88.6% | 0.59 | 0.15 | 20.5x | 169 | 33% |
| SMA 크로스오버 fast=5, slow=221 |
33.1% | -82.3% | 0.54 | 0.40 | 972.3x | 47 | 55% |
| Donchian 채널 돌파 entryN=16, exitN=65 |
31.2% | -85.6% | 0.53 | 0.37 | 696.3x | 55 | 76% |
| EMA 크로스오버 fast=8, slow=201 |
31.6% | -82.6% | 0.52 | 0.38 | 751.4x | 41 | 55% |
| Supertrend period=10, mult=4.5 |
27.0% | -83.9% | 0.48 | 0.32 | 318.8x | 65 | 57% |
| Parabolic SAR step=0.01, maxStep=0.34 |
26.5% | -83.0% | 0.48 | 0.32 | 285.8x | 277 | 49% |
| Buy and hold | 20.6% | -91.2% | 0.46 | 0.23 | 91.7x | 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, 27-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)