Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Gudeng Precision Industrial Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gudeng Precision Industrial Co., Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.2%, drawdown -68.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.9%, MDD -18.7%, Sharpe 0.79, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 15.4%, MDD -66.5%, exposure 51%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=30, threshold=38 |
7.9% | -18.7% | 0.79 | 0.42 | 3.1x | 2 | 3% |
| Parabolic SAR step=0.005, maxStep=0.42 |
15.4% | -66.5% | 0.62 | 0.23 | 8.5x | 104 | 51% |
| MACD fast=22, slow=36, signal=30 |
14.5% | -60.8% | 0.60 | 0.24 | 7.5x | 128 | 49% |
| 볼린저 밴드 돌파 n=36, k=2.2 |
12.8% | -59.8% | 0.60 | 0.21 | 6.0x | 68 | 28% |
| EMA 크로스오버 fast=10, slow=115 |
14.5% | -62.6% | 0.57 | 0.23 | 7.6x | 52 | 54% |
| SMA 크로스오버 fast=48, slow=189 |
14.0% | -68.8% | 0.56 | 0.20 | 7.1x | 23 | 58% |
| Supertrend period=10, mult=3.3 |
13.1% | -64.1% | 0.55 | 0.20 | 6.3x | 88 | 53% |
| Donchian 채널 돌파 entryN=64, exitN=69 |
13.2% | -59.3% | 0.54 | 0.22 | 6.3x | 24 | 55% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=26, mult=3.1 |
9.2% | -54.8% | 0.53 | 0.17 | 3.7x | 46 | 16% |
| ROC 모멘텀 n=104, threshold=0 |
10.1% | -70.7% | 0.45 | 0.14 | 4.2x | 142 | 59% |
| Buy and hold | 20.2% | -68.2% | 0.64 | 0.30 | 15.6x | 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, 30-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)