Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대차우 backtest
10 trend-following strategies were compared on the full daily history of 현대차우. 5 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 7.0%, MDD -37.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.3%, drawdown -82.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.0%, MDD -37.3%, Sharpe 0.45, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.0%, MDD -68.7%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 7.0%, MDD -37.3%, exposure 26%).
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=33, threshold=15 |
7.0% | -37.3% | 0.45 | 0.19 | 4.1x | 102 | 26% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
5.9% | -45.0% | 0.42 | 0.13 | 3.3x | 40 | 19% |
| ROC 모멘텀 n=103, threshold=0.08 |
6.7% | -48.7% | 0.41 | 0.14 | 3.9x | 168 | 35% |
| SMA 크로스오버 fast=17, slow=128 |
7.0% | -68.7% | 0.40 | 0.10 | 4.1x | 50 | 48% |
| EMA 크로스오버 fast=15, slow=101 |
6.8% | -66.6% | 0.40 | 0.10 | 4.0x | 80 | 49% |
| Donchian 채널 돌파 entryN=72, exitN=60 |
6.3% | -66.3% | 0.38 | 0.10 | 3.6x | 38 | 47% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=3.9 |
4.8% | -30.4% | 0.37 | 0.16 | 2.7x | 40 | 19% |
| MACD fast=17, slow=30, signal=15 |
5.9% | -45.0% | 0.36 | 0.13 | 3.3x | 253 | 51% |
| Supertrend period=18, mult=2.5 |
4.5% | -51.1% | 0.31 | 0.09 | 2.5x | 179 | 52% |
| Parabolic SAR step=0.015, maxStep=0.2 |
2.1% | -50.1% | 0.21 | 0.04 | 1.6x | 350 | 50% |
| Buy and hold | 6.3% | -82.1% | 0.35 | 0.08 | 3.6x | 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, 33-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)