Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SNT다이내믹스 backtest
10 trend-following strategies were compared on the full daily history of SNT다이내믹스. 7 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 7.5%, MDD -50.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -97.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.5%, MDD -50.1%, Sharpe 0.44, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 7.5%, MDD -50.1%, exposure 21%).
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=37, threshold=24 |
7.5% | -50.1% | 0.44 | 0.15 | 6.8x | 34 | 21% |
| Supertrend period=5, mult=4.5 |
3.9% | -90.7% | 0.31 | 0.04 | 2.8x | 80 | 58% |
| Donchian 채널 돌파 entryN=79, exitN=73 |
4.0% | -75.8% | 0.30 | 0.05 | 2.8x | 32 | 46% |
| SMA 크로스오버 fast=23, slow=167 |
2.8% | -75.0% | 0.27 | 0.04 | 2.1x | 56 | 49% |
| EMA 크로스오버 fast=56, slow=177 |
2.7% | -76.2% | 0.27 | 0.04 | 2.0x | 32 | 48% |
| ROC 모멘텀 n=87, threshold=0.12 |
1.7% | -78.8% | 0.22 | 0.02 | 1.6x | 236 | 31% |
| MACD fast=19, slow=37, signal=18 |
-1.1% | -86.2% | 0.14 | -0.01 | 0.8x | 293 | 51% |
| 볼린저 밴드 돌파 n=18, k=1.4 |
-1.1% | -85.6% | 0.12 | -0.01 | 0.7x | 350 | 36% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.1% | -82.5% | 0.11 | -0.02 | 0.6x | 328 | 48% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=22, mult=2.6 |
-0.1% | -75.0% | 0.11 | -0.00 | 1.0x | 98 | 16% |
| Buy and hold | -1.1% | -97.3% | 0.26 | -0.01 | 0.8x | 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, 37-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)