Trend-Following Backtester · Guide · backtest 한국어
equity · KR
태광산업 backtest
10 trend-following strategies were compared on the full daily history of 태광산업. 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 5.2%, MDD -33.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.1%, drawdown -79.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.2%, MDD -33.5%, Sharpe 0.43, 7% exposure.
CAGR reference leader: MACD — CAGR 7.3%, MDD -55.7%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 5.2%, MDD -33.5%, exposure 7%).
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=35, threshold=29 |
5.2% | -33.5% | 0.43 | 0.15 | 3.9x | 16 | 7% |
| MACD fast=14, slow=59, signal=19 |
7.3% | -55.7% | 0.38 | 0.13 | 6.6x | 273 | 49% |
| Supertrend period=32, mult=3.2 |
6.9% | -62.5% | 0.37 | 0.11 | 6.0x | 148 | 40% |
| SMA 크로스오버 fast=19, slow=192 |
6.2% | -61.8% | 0.35 | 0.10 | 5.0x | 52 | 45% |
| EMA 크로스오버 fast=4, slow=82 |
6.1% | -61.8% | 0.34 | 0.10 | 4.9x | 152 | 43% |
| ROC 모멘텀 n=99, threshold=-0.06 |
5.7% | -54.0% | 0.33 | 0.11 | 4.4x | 204 | 59% |
| Donchian 채널 돌파 entryN=71, exitN=76 |
5.6% | -65.7% | 0.33 | 0.08 | 4.3x | 42 | 51% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
5.1% | -53.9% | 0.31 | 0.09 | 3.8x | 148 | 33% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=1.2 |
4.5% | -67.9% | 0.29 | 0.07 | 3.2x | 174 | 35% |
| Parabolic SAR step=0.015, maxStep=0.16 |
3.3% | -70.2% | 0.26 | 0.05 | 2.4x | 430 | 46% |
| Buy and hold | 3.1% | -79.0% | 0.28 | 0.04 | 2.3x | 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, 35-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)