Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Seera Holding Group backtest
10 trend-following strategies were compared on the full daily history of Seera Holding Group. 8 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 4.6%, MDD -21.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.8%, drawdown -84.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -21.3%, Sharpe 0.49, 11% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 10.0%, MDD -52.2%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 63.1%p (CAGR 4.6%, MDD -21.3%, exposure 11%).
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=22, threshold=30 |
4.6% | -21.3% | 0.49 | 0.21 | 1.9x | 30 | 11% |
| EMA 크로스오버 fast=6, slow=68 |
10.0% | -52.2% | 0.41 | 0.19 | 3.8x | 66 | 52% |
| SMA 크로스오버 fast=16, slow=75 |
8.8% | -52.2% | 0.38 | 0.17 | 3.3x | 48 | 52% |
| Donchian 채널 돌파 entryN=64, exitN=77 |
7.2% | -52.2% | 0.34 | 0.14 | 2.7x | 20 | 54% |
| Supertrend period=12, mult=4.3 |
5.5% | -58.0% | 0.30 | 0.10 | 2.1x | 54 | 54% |
| ROC 모멘텀 n=49, threshold=-0.02 |
4.5% | -59.0% | 0.28 | 0.08 | 1.9x | 176 | 58% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=3.1 |
2.3% | -61.0% | 0.24 | 0.04 | 1.4x | 36 | 28% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
2.1% | -59.3% | 0.23 | 0.03 | 1.3x | 36 | 27% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.2% | -71.6% | 0.06 | -0.03 | 0.7x | 102 | 52% |
| MACD fast=8, slow=31, signal=18 |
-4.2% | -63.8% | -0.02 | -0.07 | 0.5x | 222 | 50% |
| Buy and hold | 0.8% | -84.5% | 0.22 | 0.01 | 1.1x | 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, 22-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)