Trend-Following Backtester · Guide · backtest 한국어
equity · KR
해성디에스 backtest
10 trend-following strategies were compared on the full daily history of 해성디에스. 6 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 19.0%, MDD -25.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 13.5%, drawdown -76.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 19.0%, MDD -25.2%, Sharpe 0.92, 15% exposure.
CAGR reference leader: MACD — CAGR 28.2%, MDD -44.2%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 19.0%, MDD -25.2%, 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=9, threshold=42 |
19.0% | -25.2% | 0.92 | 0.75 | 5.9x | 50 | 15% |
| MACD fast=16, slow=35, signal=10 |
28.2% | -44.2% | 0.91 | 0.64 | 12.5x | 127 | 48% |
| SMA 크로스오버 fast=56, slow=193 |
20.1% | -62.7% | 0.65 | 0.32 | 6.4x | 18 | 55% |
| Donchian 채널 돌파 entryN=6, exitN=54 |
19.7% | -55.1% | 0.62 | 0.36 | 6.3x | 43 | 84% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=17, mult=3.1 |
12.4% | -30.3% | 0.61 | 0.41 | 3.3x | 32 | 16% |
| Supertrend period=6, mult=2.2 |
16.7% | -43.4% | 0.61 | 0.38 | 4.8x | 91 | 49% |
| 볼린저 밴드 돌파 n=25, k=1.1 |
15.3% | -44.1% | 0.61 | 0.35 | 4.3x | 108 | 39% |
| Parabolic SAR step=0.005, maxStep=0.28 |
12.3% | -45.5% | 0.51 | 0.27 | 3.2x | 77 | 48% |
| ROC 모멘텀 n=106, threshold=-0.04 |
12.5% | -60.6% | 0.49 | 0.21 | 3.3x | 84 | 60% |
| EMA 크로스오버 fast=15, slow=153 |
12.3% | -60.3% | 0.49 | 0.20 | 3.3x | 26 | 54% |
| Buy and hold | 13.5% | -76.6% | 0.51 | 0.18 | 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, 9-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)