Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Saudi Chemical Co. backtest
10 trend-following strategies were compared on the full daily history of Saudi Chemical Co.. 5 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 8.5%, MDD -15.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.0%, drawdown -95.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.5%, MDD -15.6%, Sharpe 0.75, 7% exposure.
CAGR reference leader: MACD — CAGR 9.6%, MDD -93.5%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 80.1%p (CAGR 8.5%, MDD -15.6%, exposure 7%).
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=23, threshold=34 |
8.5% | -15.6% | 0.75 | 0.54 | 3.8x | 10 | 7% |
| MACD fast=36, slow=72, signal=21 |
9.6% | -93.5% | 0.35 | 0.10 | 4.5x | 98 | 53% |
| Donchian 채널 돌파 entryN=94, exitN=94 |
7.8% | -94.5% | 0.35 | 0.08 | 3.5x | 17 | 51% |
| SMA 크로스오버 fast=10, slow=53 |
7.5% | -94.2% | 0.35 | 0.08 | 3.3x | 94 | 51% |
| Supertrend period=6, mult=4.5 |
6.3% | -94.0% | 0.35 | 0.07 | 2.7x | 71 | 53% |
| ROC 모멘텀 n=19, threshold=-0.04 |
4.6% | -96.0% | 0.34 | 0.05 | 2.1x | 251 | 74% |
| EMA 크로스오버 fast=52, slow=213 |
5.0% | -94.8% | 0.25 | 0.05 | 2.2x | 25 | 42% |
| 볼린저 밴드 돌파 n=55, k=3.1 |
-6.0% | -93.6% | 0.25 | -0.06 | 0.4x | 20 | 17% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=2.2 |
-8.9% | -95.9% | 0.24 | -0.09 | 0.2x | 70 | 37% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-11.9% | -95.0% | 0.23 | -0.13 | 0.1x | 112 | 49% |
| Buy and hold | 6.0% | -95.7% | 0.35 | 0.06 | 2.6x | 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, 23-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)