Trend-Following Backtester · Guide · backtest 한국어
equity · KW
National Industries Group (Holding) SAK backtest
10 trend-following strategies were compared on the full daily history of National Industries Group (Holding) SAK. 1 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 2.4%, MDD -21.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 0.9%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -21.8%, Sharpe 0.38, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 78.2%p (CAGR 2.4%, MDD -21.8%, 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=45, threshold=29 |
2.4% | -21.8% | 0.38 | 0.11 | 1.9x | 6 | 3% |
| Donchian 채널 돌파 entryN=28, exitN=74 |
-19.8% | -100.0% | 0.28 | -0.20 | 0.0x | 70 | 73% |
| ROC 모멘텀 Hold-like · Exposure 96% n=4, threshold=-0.08 |
-24.7% | -100.0% | 0.22 | -0.25 | 0.0x | 235 | 96% |
| SMA 크로스오버 fast=31, slow=146 |
0.9% | -100.0% | 0.20 | 0.01 | 1.3x | 54 | 55% |
| MACD fast=8, slow=36, signal=10 |
-6.6% | -98.2% | 0.17 | -0.07 | 0.2x | 443 | 49% |
| EMA 크로스오버 fast=54, slow=144 |
-21.5% | -100.0% | 0.13 | -0.21 | 0.0x | 32 | 56% |
| Parabolic SAR step=0.03, maxStep=0.44 |
-7.9% | -99.2% | 0.12 | -0.08 | 0.1x | 469 | 50% |
| Supertrend period=9, mult=1.1 |
-18.4% | -99.9% | -0.15 | -0.18 | 0.0x | 669 | 49% |
| 볼린저 밴드 돌파 n=20, k=1.7 |
-16.1% | -100.0% | -0.16 | -0.16 | 0.0x | 258 | 33% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=27, mult=1.4 |
-17.0% | -99.9% | -0.18 | -0.17 | 0.0x | 260 | 35% |
| Buy and hold | 0.9% | -100.0% | 0.20 | 0.01 | 1.3x | 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, 45-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)