Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KT backtest
10 trend-following strategies were compared on the full daily history of KT. 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 0.1%, MDD -7.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.4%, drawdown -89.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -7.6%, Sharpe 0.07, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 82.0%p (CAGR 0.1%, MDD -7.6%, exposure 1%).
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=39, threshold=26 |
0.1% | -7.6% | 0.07 | 0.02 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=82, slow=252 |
-0.4% | -53.4% | 0.05 | -0.01 | 0.9x | 23 | 43% |
| SMA 크로스오버 fast=56, slow=273 |
-0.6% | -63.1% | 0.04 | -0.01 | 0.8x | 28 | 45% |
| Donchian 채널 돌파 entryN=125, exitN=35 |
-0.9% | -60.9% | -0.01 | -0.01 | 0.8x | 42 | 23% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
-3.9% | -88.2% | -0.01 | -0.04 | 0.4x | 3 | 100% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
-0.5% | -26.4% | -0.03 | -0.02 | 0.9x | 22 | 7% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=11, mult=3.7 |
-0.9% | -37.0% | -0.08 | -0.03 | 0.8x | 34 | 7% |
| Supertrend period=29, mult=2.1 |
-5.1% | -82.2% | -0.21 | -0.06 | 0.2x | 279 | 46% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.7% | -84.5% | -0.24 | -0.07 | 0.2x | 338 | 48% |
| MACD fast=19, slow=47, signal=19 |
-6.4% | -87.0% | -0.26 | -0.07 | 0.2x | 281 | 49% |
| Buy and hold | -4.4% | -89.6% | -0.03 | -0.05 | 0.3x | 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, 39-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)