Trend-Following Backtester · Guide · backtest 한국어
equity · PE
Ferreycorp SAA backtest
10 trend-following strategies were compared on the full daily history of Ferreycorp SAA. 7 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 3.5%, MDD -11.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.3%, drawdown -68.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -11.7%, Sharpe 0.49, 9% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.1%, MDD -39.7%, exposure 37%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 56.8%p (CAGR 3.5%, MDD -11.7%, exposure 9%).
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=18, threshold=44 |
3.5% | -11.7% | 0.49 | 0.30 | 1.9x | 12 | 9% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
7.1% | -39.7% | 0.47 | 0.18 | 3.6x | 85 | 37% |
| Donchian 채널 돌파 entryN=86, exitN=9 |
5.3% | -30.5% | 0.46 | 0.17 | 2.6x | 75 | 19% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=29, mult=3.2 |
6.4% | -41.5% | 0.45 | 0.15 | 3.2x | 89 | 33% |
| EMA 크로스오버 fast=49, slow=142 |
6.0% | -60.8% | 0.38 | 0.10 | 2.9x | 23 | 56% |
| SMA 크로스오버 fast=23, slow=218 |
5.0% | -66.5% | 0.34 | 0.08 | 2.5x | 27 | 58% |
| Supertrend period=14, mult=2.7 |
4.8% | -41.1% | 0.33 | 0.12 | 2.4x | 241 | 52% |
| ROC 모멘텀 n=43, threshold=0.11 |
2.9% | -35.7% | 0.29 | 0.08 | 1.7x | 126 | 19% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.6% | -50.6% | 0.23 | 0.05 | 1.6x | 226 | 52% |
| MACD fast=17, slow=55, signal=19 |
0.3% | -67.4% | 0.12 | 0.00 | 1.1x | 192 | 49% |
| Buy and hold | 3.3% | -68.5% | 0.26 | 0.05 | 1.8x | 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, 18-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)