Trend-Following Backtester · Guide · backtest 한국어
equity · KR
이수페타시스 backtest
10 trend-following strategies were compared on the full daily history of 이수페타시스. 1 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 11.3%, MDD -58.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.9%, drawdown -78.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.3%, MDD -58.4%, Sharpe 0.53, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.7%, MDD -74.9%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 19.9%p (CAGR 11.3%, MDD -58.4%, exposure 15%).
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=24, threshold=26 |
11.3% | -58.4% | 0.53 | 0.19 | 16.0x | 46 | 15% |
| SMA 크로스오버 fast=55, slow=110 |
13.7% | -74.9% | 0.51 | 0.18 | 27.9x | 62 | 49% |
| Supertrend period=10, mult=5 |
9.5% | -70.1% | 0.43 | 0.14 | 10.6x | 74 | 56% |
| Donchian 채널 돌파 entryN=41, exitN=29 |
9.4% | -80.9% | 0.42 | 0.12 | 10.3x | 90 | 44% |
| EMA 크로스오버 fast=40, slow=77 |
7.3% | -72.4% | 0.38 | 0.10 | 6.2x | 72 | 49% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
7.2% | -64.8% | 0.37 | 0.11 | 6.1x | 118 | 34% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=1.2 |
5.9% | -64.4% | 0.34 | 0.09 | 4.5x | 206 | 40% |
| MACD fast=6, slow=36, signal=16 |
5.1% | -79.1% | 0.33 | 0.06 | 3.7x | 478 | 51% |
| ROC 모멘텀 n=102, threshold=0.03 |
4.4% | -87.7% | 0.31 | 0.05 | 3.0x | 332 | 47% |
| Parabolic SAR step=0.015, maxStep=0.24 |
0.7% | -83.3% | 0.23 | 0.01 | 1.2x | 442 | 50% |
| Buy and hold | 11.9% | -78.3% | 0.48 | 0.15 | 18.5x | 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, 24-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)