Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Knowledge Economic City backtest
10 trend-following strategies were compared on the full daily history of Knowledge Economic City. 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 7.4%, MDD -22.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -76.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -22.6%, Sharpe 0.71, 5% exposure.
CAGR reference leader: Supertrend — CAGR 14.7%, MDD -44.4%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 53.9%p (CAGR 7.4%, MDD -22.6%, exposure 5%).
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=21, threshold=41 |
7.4% | -22.6% | 0.71 | 0.33 | 3.1x | 11 | 5% |
| Supertrend period=29, mult=3.4 |
14.7% | -44.4% | 0.71 | 0.33 | 9.0x | 81 | 50% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=19, mult=1.3 |
12.8% | -38.5% | 0.70 | 0.33 | 6.9x | 117 | 34% |
| 볼린저 밴드 돌파 n=49, k=1.7 |
12.3% | -38.6% | 0.66 | 0.32 | 6.4x | 61 | 31% |
| EMA 크로스오버 fast=7, slow=24 |
12.7% | -39.0% | 0.64 | 0.33 | 6.8x | 153 | 46% |
| ROC 모멘텀 n=84, threshold=0.12 |
10.1% | -37.6% | 0.60 | 0.27 | 4.7x | 89 | 27% |
| Donchian 채널 돌파 entryN=109, exitN=8 |
7.6% | -40.1% | 0.59 | 0.19 | 3.3x | 43 | 15% |
| MACD fast=18, slow=52, signal=9 |
11.2% | -45.1% | 0.56 | 0.25 | 5.5x | 189 | 51% |
| Parabolic SAR step=0.02, maxStep=0.3 |
9.5% | -50.3% | 0.52 | 0.19 | 4.3x | 271 | 49% |
| SMA 크로스오버 fast=15, slow=189 |
7.0% | -51.6% | 0.41 | 0.14 | 2.9x | 33 | 43% |
| Buy and hold | 4.2% | -76.5% | 0.29 | 0.05 | 1.9x | 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, 21-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)