Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데웰푸드 backtest
10 trend-following strategies were compared on the full daily history of 롯데웰푸드. 10 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 1.2%, MDD -12.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.6%, drawdown -53.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -12.3%, Sharpe 0.22, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.2%, MDD -39.0%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 40.8%p (CAGR 1.2%, MDD -12.3%, exposure 3%).
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=16, threshold=38 |
1.2% | -12.3% | 0.22 | 0.10 | 1.1x | 6 | 3% |
| SMA 크로스오버 fast=48, slow=100 |
2.2% | -39.0% | 0.21 | 0.06 | 1.2x | 24 | 40% |
| Supertrend period=23, mult=4.8 |
1.1% | -43.2% | 0.16 | 0.03 | 1.1x | 20 | 48% |
| Donchian 채널 돌파 entryN=147, exitN=13 |
0.8% | -30.3% | 0.13 | 0.03 | 1.1x | 12 | 10% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
0.7% | -17.8% | 0.12 | 0.04 | 1.1x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=4 |
0.2% | -30.6% | 0.07 | 0.01 | 1.0x | 8 | 9% |
| EMA 크로스오버 fast=7, slow=95 |
-2.4% | -46.9% | -0.03 | -0.05 | 0.8x | 40 | 38% |
| Parabolic SAR step=0.04, maxStep=0.34 |
-3.5% | -44.4% | -0.08 | -0.08 | 0.7x | 265 | 48% |
| MACD fast=15, slow=45, signal=8 |
-4.1% | -51.8% | -0.10 | -0.08 | 0.7x | 129 | 51% |
| ROC 모멘텀 n=72, threshold=0.08 |
-3.0% | -36.5% | -0.10 | -0.08 | 0.8x | 84 | 23% |
| Buy and hold | -6.6% | -53.1% | -0.08 | -0.12 | 0.6x | 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, 16-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)