Trend-Following Backtester · Guide · backtest 한국어
equity · KR
ACE 200 backtest
10 trend-following strategies were compared on the full daily history of ACE 200. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -41.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -21.0%, Sharpe 0.61, 24% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 7.9%, MDD -39.0%, exposure 40%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=16 |
7.4% | -21.0% | 0.61 | 0.35 | 3.4x | 56 | 24% |
| Donchian 채널 돌파 entryN=40, exitN=22 |
7.9% | -39.0% | 0.59 | 0.20 | 3.7x | 64 | 40% |
| Supertrend period=10, mult=5 |
7.1% | -37.0% | 0.55 | 0.19 | 3.3x | 62 | 48% |
| 볼린저 밴드 돌파 n=44, k=2.1 |
6.0% | -33.3% | 0.51 | 0.18 | 2.7x | 62 | 29% |
| SMA 크로스오버 fast=45, slow=108 |
7.5% | -46.0% | 0.49 | 0.16 | 3.5x | 33 | 61% |
| ROC 모멘텀 n=87, threshold=0.12 |
5.5% | -35.8% | 0.46 | 0.15 | 2.5x | 84 | 18% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=20, mult=2.5 |
5.4% | -33.3% | 0.46 | 0.16 | 2.5x | 84 | 36% |
| EMA 크로스오버 fast=57, slow=66 |
6.7% | -49.8% | 0.45 | 0.14 | 3.1x | 39 | 61% |
| MACD fast=30, slow=52, signal=18 |
4.0% | -50.8% | 0.34 | 0.08 | 2.0x | 148 | 52% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-0.2% | -55.6% | 0.06 | -0.00 | 1.0x | 362 | 53% |
| Buy and hold | 11.1% | -41.1% | 0.59 | 0.27 | 6.1x | 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 ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)