Trend-Following Backtester · Guide · backtest 한국어
equity · KR
케어젠 backtest
10 trend-following strategies were compared on the full daily history of 케어젠. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.7%, MDD -40.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.5%, drawdown -70.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.1%, MDD -47.9%, Sharpe 0.58, 32% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 12.7%, MDD -40.8%, exposure 33%).
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=44, threshold=13 |
16.1% | -47.9% | 0.58 | 0.34 | 5.0x | 32 | 32% |
| Donchian 채널 돌파 entryN=31, exitN=31 |
15.7% | -52.4% | 0.56 | 0.30 | 4.8x | 28 | 54% |
| Supertrend period=22, mult=5 |
14.7% | -64.2% | 0.54 | 0.23 | 4.4x | 24 | 44% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
12.7% | -40.8% | 0.51 | 0.31 | 3.6x | 42 | 33% |
| ROC 모멘텀 n=128, threshold=0.15 |
11.8% | -46.9% | 0.48 | 0.25 | 3.3x | 52 | 32% |
| SMA 크로스오버 fast=10, slow=213 |
11.6% | -62.6% | 0.47 | 0.19 | 3.3x | 28 | 47% |
| EMA 크로스오버 fast=42, slow=137 |
9.9% | -62.4% | 0.44 | 0.16 | 2.8x | 16 | 53% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=21, mult=1.8 |
9.1% | -64.9% | 0.42 | 0.14 | 2.6x | 44 | 39% |
| MACD fast=8, slow=52, signal=13 |
1.7% | -67.6% | 0.24 | 0.03 | 1.2x | 158 | 43% |
| Parabolic SAR step=0.02, maxStep=0.34 |
0.1% | -62.5% | 0.21 | 0.00 | 1.0x | 196 | 53% |
| Buy and hold | 8.5% | -70.3% | 0.43 | 0.12 | 2.4x | 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, 44-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)