Trend-Following Backtester · Guide · backtest 한국어
equity · KR
아모레퍼시픽 backtest
10 trend-following strategies were compared on the full daily history of 아모레퍼시픽. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.3%, MDD -40.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -79.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -15.2%, Sharpe 0.49, 7% exposure.
CAGR reference leader: Supertrend — CAGR 6.6%, MDD -60.9%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 64.6%p (CAGR 6.3%, MDD -40.3%, exposure 36%).
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=31, threshold=31 |
4.6% | -15.2% | 0.49 | 0.30 | 2.5x | 14 | 7% |
| 볼린저 밴드 돌파 n=56, k=1.9 |
6.3% | -40.3% | 0.39 | 0.16 | 3.4x | 75 | 36% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=3.1 |
5.4% | -45.4% | 0.37 | 0.12 | 2.9x | 58 | 24% |
| Supertrend period=13, mult=3.1 |
6.6% | -60.9% | 0.37 | 0.11 | 3.6x | 111 | 54% |
| Donchian 채널 돌파 entryN=39, exitN=27 |
5.3% | -56.6% | 0.34 | 0.09 | 2.9x | 67 | 46% |
| SMA 크로스오버 fast=24, slow=57 |
5.3% | -51.8% | 0.33 | 0.10 | 2.8x | 81 | 51% |
| EMA 크로스오버 fast=17, slow=22 |
5.2% | -61.5% | 0.32 | 0.08 | 2.8x | 131 | 52% |
| ROC 모멘텀 n=40, threshold=0.03 |
2.3% | -63.1% | 0.22 | 0.04 | 1.6x | 265 | 44% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.5% | -72.2% | 0.15 | 0.01 | 1.1x | 167 | 49% |
| MACD fast=16, slow=54, signal=17 |
-6.6% | -87.0% | -0.10 | -0.08 | 0.3x | 237 | 49% |
| Buy and hold | 6.8% | -79.8% | 0.37 | 0.08 | 3.7x | 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, 31-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)