Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Home Product Center Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Home Product Center Public Co., Ltd.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.8%, MDD -42.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.4%, drawdown -68.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.3%, MDD -41.7%, Sharpe 0.75, 32% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.8%, MDD -42.1%, exposure 59%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 27.2%p (CAGR 15.8%, MDD -42.1%, exposure 59%).
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=36, threshold=17 |
14.3% | -41.7% | 0.75 | 0.34 | 27.5x | 70 | 32% |
| EMA 크로스오버 fast=37, slow=255 |
15.8% | -42.1% | 0.74 | 0.38 | 38.5x | 24 | 59% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=3.6 |
12.7% | -32.6% | 0.70 | 0.39 | 19.4x | 54 | 29% |
| Donchian 채널 돌파 entryN=103, exitN=40 |
13.5% | -32.4% | 0.70 | 0.42 | 23.0x | 39 | 37% |
| SMA 크로스오버 fast=44, slow=261 |
14.2% | -42.3% | 0.69 | 0.34 | 26.9x | 26 | 55% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
12.8% | -51.4% | 0.67 | 0.25 | 19.9x | 92 | 38% |
| Supertrend period=10, mult=4.2 |
13.4% | -49.9% | 0.63 | 0.27 | 22.5x | 77 | 57% |
| ROC 모멘텀 n=64, threshold=0.09 |
9.0% | -56.0% | 0.51 | 0.16 | 8.5x | 222 | 35% |
| MACD fast=21, slow=83, signal=17 |
8.7% | -58.4% | 0.48 | 0.15 | 8.0x | 198 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
4.9% | -69.0% | 0.32 | 0.07 | 3.3x | 350 | 53% |
| Buy and hold | 15.4% | -68.8% | 0.60 | 0.22 | 35.1x | 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, 36-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)