Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Agility Public Warehousing Co. K.S.C. backtest
10 trend-following strategies were compared on the full daily history of Agility Public Warehousing Co. K.S.C.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.6%, MDD -40.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.8%, drawdown -95.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.7%, MDD -96.1%, Sharpe 0.63, 92% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.1%, MDD -85.0%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by -0.7%p (CAGR 6.6%, MDD -40.8%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=4, threshold=-0.06 |
1.7% | -96.1% | 0.63 | 0.02 | 1.6x | 347 | 92% |
| Donchian 채널 돌파 entryN=6, exitN=80 |
1.6% | -98.9% | 0.62 | 0.02 | 1.5x | 97 | 87% |
| SMA 크로스오버 fast=59, slow=212 |
9.1% | -85.0% | 0.54 | 0.11 | 10.2x | 31 | 53% |
| ADX / DI 방향성 period=13, threshold=38 |
6.6% | -40.8% | 0.48 | 0.16 | 5.5x | 96 | 14% |
| MACD fast=15, slow=30, signal=18 |
-22.4% | -100.0% | 0.44 | -0.22 | 0.0x | 302 | 50% |
| EMA 크로스오버 fast=58, slow=106 |
-21.7% | -100.0% | 0.36 | -0.22 | 0.0x | 43 | 51% |
| 볼린저 밴드 돌파 n=8, k=1.8 |
-24.5% | -100.0% | 0.30 | -0.24 | 0.0x | 448 | 28% |
| Supertrend period=8, mult=5 |
-39.0% | -100.0% | 0.23 | -0.39 | 0.0x | 126 | 55% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-40.3% | -100.0% | 0.19 | -0.40 | 0.0x | 374 | 51% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=6, mult=1.1 |
-52.0% | -100.0% | -0.25 | -0.52 | 0.0x | 350 | 36% |
| Buy and hold | 4.8% | -95.4% | 0.65 | 0.05 | 3.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 4-day return is greater than -6%
- Sell — Sell when the 4-day return drops to -6% or below