Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Rabigh Refining & Petrochemical Co. Class A backtest
10 trend-following strategies were compared on the full daily history of Rabigh Refining & Petrochemical Co. Class A. 10 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 6.1%, MDD -30.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -79.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.1%, MDD -30.8%, Sharpe 0.51, 11% exposure.
CAGR reference leader: Supertrend — CAGR 10.0%, MDD -58.5%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 6.1%, MDD -30.8%, 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=32 |
6.1% | -30.8% | 0.51 | 0.20 | 2.6x | 26 | 11% |
| Supertrend period=13, mult=1.8 |
10.0% | -58.5% | 0.48 | 0.17 | 4.8x | 228 | 48% |
| MACD fast=19, slow=33, signal=6 |
9.4% | -57.1% | 0.44 | 0.16 | 4.4x | 258 | 52% |
| 볼린저 밴드 돌파 n=15, k=1.5 |
8.1% | -65.4% | 0.43 | 0.12 | 3.6x | 218 | 36% |
| Donchian 채널 돌파 entryN=8, exitN=33 |
6.1% | -65.7% | 0.34 | 0.09 | 2.7x | 101 | 72% |
| SMA 크로스오버 fast=59, slow=263 |
5.1% | -54.6% | 0.33 | 0.09 | 2.3x | 17 | 35% |
| EMA 크로스오버 fast=45, slow=167 |
4.8% | -60.8% | 0.32 | 0.08 | 2.2x | 21 | 33% |
| Parabolic SAR step=0.015, maxStep=0.1 |
4.1% | -67.4% | 0.28 | 0.06 | 2.0x | 220 | 49% |
| ROC 모멘텀 n=35, threshold=-0.05 |
3.7% | -67.6% | 0.27 | 0.05 | 1.8x | 179 | 65% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=1.8 |
3.4% | -60.6% | 0.27 | 0.06 | 1.7x | 128 | 28% |
| Buy and hold | -2.0% | -79.7% | 0.15 | -0.02 | 0.7x | 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 ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)