Trend-Following Backtester · Guide · backtest 한국어
equity · SA
SABIC Agri-Nutrients Co. backtest
10 trend-following strategies were compared on the full daily history of SABIC Agri-Nutrients Co.. 4 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 2.7%, MDD -9.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.1%, drawdown -64.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -9.2%, Sharpe 0.52, 4% exposure.
CAGR reference leader: Supertrend — CAGR 3.6%, MDD -47.1%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 54.8%p (CAGR 2.7%, MDD -9.2%, exposure 4%).
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=59, threshold=26 |
2.7% | -9.2% | 0.52 | 0.29 | 1.5x | 2 | 4% |
| Supertrend period=18, mult=4.7 |
3.6% | -47.1% | 0.28 | 0.08 | 1.8x | 58 | 49% |
| EMA 크로스오버 fast=24, slow=44 |
2.7% | -52.0% | 0.24 | 0.05 | 1.6x | 64 | 51% |
| SMA 크로스오버 fast=44, slow=211 |
2.1% | -43.8% | 0.21 | 0.05 | 1.4x | 26 | 51% |
| ROC 모멘텀 n=149, threshold=-0.09 |
1.9% | -55.8% | 0.20 | 0.03 | 1.4x | 71 | 74% |
| Donchian 채널 돌파 entryN=13, exitN=94 |
1.6% | -61.9% | 0.19 | 0.03 | 1.3x | 40 | 84% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
-0.0% | -45.6% | 0.09 | -0.00 | 1.0x | 84 | 36% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=2.4 |
-0.3% | -53.0% | 0.07 | -0.00 | 1.0x | 70 | 33% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.3% | -65.5% | 0.03 | -0.02 | 0.8x | 178 | 49% |
| MACD fast=15, slow=41, signal=8 |
-2.4% | -65.7% | -0.03 | -0.04 | 0.7x | 255 | 48% |
| Buy and hold | 2.1% | -64.1% | 0.21 | 0.03 | 1.4x | 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, 59-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)