Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Savola Group backtest
10 trend-following strategies were compared on the full daily history of Savola Group. 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 2.7%, MDD -17.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.4%, drawdown -71.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -17.0%, Sharpe 0.42, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.6%, MDD -38.8%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 54.3%p (CAGR 2.7%, MDD -17.0%, exposure 6%).
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=16, threshold=37 |
2.7% | -17.0% | 0.42 | 0.16 | 1.6x | 20 | 6% |
| SMA 크로스오버 fast=40, slow=158 |
6.6% | -38.8% | 0.37 | 0.17 | 2.9x | 22 | 46% |
| EMA 크로스오버 fast=51, slow=55 |
4.6% | -53.1% | 0.30 | 0.09 | 2.1x | 32 | 46% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
2.6% | -42.0% | 0.23 | 0.06 | 1.5x | 44 | 23% |
| Donchian 채널 돌파 entryN=88, exitN=42 |
2.0% | -45.1% | 0.21 | 0.04 | 1.4x | 28 | 40% |
| Supertrend period=5, mult=3.1 |
1.5% | -61.9% | 0.20 | 0.02 | 1.3x | 116 | 49% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=26, mult=3.9 |
1.4% | -41.2% | 0.18 | 0.03 | 1.3x | 32 | 13% |
| ROC 모멘텀 n=93, threshold=0.06 |
-0.6% | -56.9% | 0.11 | -0.01 | 0.9x | 114 | 39% |
| MACD fast=19, slow=46, signal=16 |
-7.3% | -88.8% | -0.13 | -0.08 | 0.3x | 168 | 48% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-7.3% | -80.7% | -0.14 | -0.09 | 0.3x | 194 | 49% |
| Buy and hold | 0.4% | -71.3% | 0.20 | 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, 16-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)