Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Gunkul Engineering Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gunkul Engineering Public Co. Ltd.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 21.3%, MDD -46.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.3%, drawdown -81.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 21.7%, MDD -47.7%, Sharpe 0.93, 34% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.7%, MDD -62.7%, exposure 64%.
Return/drawdown alternative: Parabolic SAR — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 21.3%, MDD -46.0%, exposure 51%).
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=39, threshold=15 |
21.7% | -47.7% | 0.93 | 0.46 | 22.2x | 49 | 34% |
| EMA 크로스오버 fast=18, slow=37 |
23.6% | -57.8% | 0.91 | 0.41 | 28.4x | 73 | 52% |
| Donchian 채널 돌파 entryN=15, exitN=27 |
24.7% | -62.7% | 0.90 | 0.39 | 32.6x | 75 | 64% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=0.8 |
21.1% | -51.7% | 0.86 | 0.41 | 20.5x | 141 | 46% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
18.8% | -46.2% | 0.86 | 0.41 | 15.2x | 35 | 29% |
| Supertrend period=27, mult=3 |
21.3% | -60.0% | 0.86 | 0.35 | 20.9x | 103 | 53% |
| Parabolic SAR step=0.045, maxStep=0.06 |
21.3% | -46.0% | 0.86 | 0.46 | 20.9x | 217 | 51% |
| SMA 크로스오버 fast=6, slow=56 |
21.9% | -61.6% | 0.86 | 0.36 | 22.9x | 107 | 52% |
| ROC 모멘텀 n=44, threshold=0.03 |
19.4% | -57.1% | 0.80 | 0.34 | 16.4x | 185 | 45% |
| MACD fast=18, slow=29, signal=17 |
13.9% | -56.5% | 0.63 | 0.25 | 7.8x | 166 | 49% |
| Buy and hold | 16.3% | -81.2% | 0.59 | 0.20 | 10.8x | 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, 39-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)