Trend-Following Backtester · Guide · backtest 한국어
equity · JP
GNI Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of GNI Group Ltd.. 10 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 30.6%, MDD -59.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 13.6%, drawdown -96.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 30.6%, MDD -59.7%, Sharpe 0.77, 18% exposure.
CAGR reference leader: Parabolic SAR — CAGR 31.7%, MDD -90.6%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 30.6%, MDD -59.7%, exposure 18%).
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=7, threshold=41 |
30.6% | -59.7% | 0.77 | 0.51 | 163.7x | 180 | 18% |
| Parabolic SAR step=0.01, maxStep=0.06 |
31.7% | -90.6% | 0.73 | 0.35 | 191.3x | 181 | 44% |
| Donchian 채널 돌파 entryN=20, exitN=9 |
29.9% | -74.7% | 0.71 | 0.40 | 146.7x | 131 | 33% |
| Supertrend period=27, mult=3.2 |
29.8% | -75.3% | 0.71 | 0.40 | 145.4x | 109 | 42% |
| SMA 크로스오버 fast=9, slow=35 |
28.9% | -77.5% | 0.70 | 0.37 | 126.5x | 155 | 44% |
| 볼린저 밴드 돌파 n=18, k=2.4 |
26.2% | -75.1% | 0.68 | 0.35 | 85.3x | 133 | 22% |
| ROC 모멘텀 n=15, threshold=0.13 |
22.6% | -75.7% | 0.62 | 0.30 | 48.5x | 321 | 21% |
| MACD fast=12, slow=22, signal=18 |
21.1% | -95.4% | 0.61 | 0.22 | 38.9x | 289 | 52% |
| EMA 크로스오버 fast=6, slow=33 |
18.2% | -75.2% | 0.57 | 0.24 | 24.4x | 175 | 43% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=2.7 |
16.5% | -71.9% | 0.55 | 0.23 | 18.6x | 69 | 10% |
| Buy and hold | 13.6% | -96.6% | 0.59 | 0.14 | 11.4x | 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, 7-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)