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. 3 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 25.0%, MDD -52.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 22.3%, drawdown -97.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 25.0%, MDD -52.0%, Sharpe 0.94, 25% exposure.
CAGR reference leader: Supertrend — CAGR 33.1%, MDD -91.9%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 25.0%, MDD -52.0%, 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=34, threshold=22 |
25.0% | -52.0% | 0.94 | 0.48 | 225.5x | 50 | 25% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.9 |
15.1% | -92.7% | 0.73 | 0.16 | 30.6x | 28 | 22% |
| Donchian 채널 돌파 entryN=86, exitN=72 |
15.7% | -96.1% | 0.66 | 0.16 | 34.3x | 29 | 52% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
14.0% | -93.9% | 0.66 | 0.15 | 24.2x | 70 | 34% |
| SMA 크로스오버 fast=27, slow=45 |
7.5% | -94.0% | 0.48 | 0.08 | 5.8x | 147 | 55% |
| ROC 모멘텀 n=28, threshold=0.13 |
5.1% | -93.6% | 0.44 | 0.06 | 3.4x | 342 | 29% |
| Supertrend period=25, mult=3.7 |
33.1% | -91.9% | 0.37 | 0.36 | 1034.5x | 89 | 55% |
| EMA 크로스오버 fast=9, slow=34 |
33.1% | -92.6% | 0.37 | 0.36 | 1024.3x | 163 | 52% |
| MACD fast=9, slow=55, signal=14 |
20.5% | -96.6% | 0.32 | 0.21 | 92.7x | 339 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
16.1% | -95.6% | 0.30 | 0.17 | 37.4x | 465 | 52% |
| Buy and hold | 22.3% | -97.4% | 0.35 | 0.23 | 133.1x | 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, 34-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)