Trend-Following Backtester · Guide · backtest 한국어
equity · KR
성호전자 backtest
10 trend-following strategies were compared on the full daily history of 성호전자. 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 14.8%, MDD -34.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.5%, drawdown -87.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.8%, MDD -34.5%, Sharpe 0.67, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 17.2%, MDD -71.9%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 14.8%, MDD -34.5%, exposure 5%).
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=39 |
14.8% | -34.5% | 0.67 | 0.43 | 30.3x | 6 | 5% |
| SMA 크로스오버 fast=29, slow=80 |
17.2% | -71.9% | 0.57 | 0.24 | 49.9x | 90 | 47% |
| MACD fast=39, slow=86, signal=39 |
16.5% | -78.0% | 0.56 | 0.21 | 42.9x | 122 | 49% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=12, mult=4 |
13.3% | -76.6% | 0.55 | 0.17 | 21.7x | 26 | 11% |
| Donchian 채널 돌파 entryN=88, exitN=5 |
10.5% | -75.6% | 0.50 | 0.14 | 11.7x | 50 | 7% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
11.3% | -76.5% | 0.47 | 0.15 | 14.1x | 52 | 17% |
| EMA 크로스오버 fast=36, slow=64 |
10.3% | -79.8% | 0.44 | 0.13 | 11.2x | 90 | 46% |
| ROC 모멘텀 n=65, threshold=0.08 |
8.9% | -88.5% | 0.41 | 0.10 | 8.2x | 282 | 30% |
| Supertrend period=23, mult=5 |
5.2% | -92.9% | 0.33 | 0.06 | 3.5x | 66 | 52% |
| Parabolic SAR step=0.015, maxStep=0.42 |
0.3% | -94.6% | 0.22 | 0.00 | 1.1x | 376 | 47% |
| Buy and hold | 8.5% | -87.6% | 0.43 | 0.10 | 7.4x | 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, 39-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)