Trend-Following Backtester · Guide · backtest 한국어
equity · IN
PCBL Chemical Limited backtest
10 trend-following strategies were compared on the full daily history of PCBL Chemical Limited. 4 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 24.5%, MDD -54.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.3%, drawdown -97.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.5%, MDD -54.4%, Sharpe 0.93, 25% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 34.8%, MDD -92.9%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 24.5%, MDD -54.4%, exposure 25%).
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=39, threshold=21 |
24.5% | -54.4% | 0.93 | 0.45 | 196.9x | 50 | 25% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=9, mult=3.9 |
16.9% | -93.0% | 0.77 | 0.18 | 43.1x | 26 | 23% |
| Donchian 채널 돌파 entryN=57, exitN=24 |
15.5% | -95.1% | 0.68 | 0.16 | 32.1x | 59 | 37% |
| 볼린저 밴드 돌파 n=42, k=2.7 |
8.6% | -93.8% | 0.53 | 0.09 | 7.4x | 93 | 32% |
| ROC 모멘텀 n=36, threshold=0.08 |
7.2% | -95.2% | 0.49 | 0.08 | 5.3x | 339 | 40% |
| EMA 크로스오버 fast=6, slow=32 |
34.8% | -92.9% | 0.38 | 0.37 | 1334.0x | 199 | 52% |
| SMA 크로스오버 fast=7, slow=153 |
32.5% | -91.7% | 0.37 | 0.35 | 871.6x | 63 | 54% |
| Supertrend period=23, mult=3.7 |
31.6% | -93.7% | 0.37 | 0.34 | 739.4x | 91 | 55% |
| MACD fast=12, slow=52, signal=10 |
19.3% | -96.5% | 0.31 | 0.20 | 69.8x | 353 | 52% |
| Parabolic SAR step=0.02, maxStep=0.12 |
16.7% | -95.6% | 0.30 | 0.17 | 40.9x | 461 | 52% |
| Buy and hold | 22.3% | -97.4% | 0.35 | 0.23 | 127.8x | 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, 39-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)