Trend-Following Backtester · Guide · backtest 한국어
equity · US
Concentrix Corporation backtest
10 trend-following strategies were compared on the full daily history of Concentrix Corporation. 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 5.5%, MDD -9.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.7%, drawdown -89.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -9.9%, Sharpe 0.69, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 80.0%p (CAGR 5.5%, MDD -9.9%, 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=27, threshold=34 |
5.5% | -9.9% | 0.69 | 0.56 | 1.4x | 2 | 5% |
| Donchian 채널 돌파 entryN=56, exitN=47 |
-2.4% | -52.5% | 0.07 | -0.05 | 0.9x | 11 | 39% |
| Supertrend period=15, mult=2.4 |
-2.8% | -59.2% | 0.07 | -0.05 | 0.9x | 47 | 49% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-5.7% | -63.3% | 0.02 | -0.09 | 0.7x | 133 | 47% |
| ROC 모멘텀 n=91, threshold=0 |
-7.8% | -57.4% | -0.14 | -0.14 | 0.6x | 34 | 38% |
| SMA 크로스오버 fast=6, slow=110 |
-7.9% | -51.4% | -0.15 | -0.15 | 0.6x | 23 | 35% |
| MACD fast=19, slow=56, signal=12 |
-11.8% | -70.3% | -0.18 | -0.17 | 0.5x | 67 | 52% |
| 볼린저 밴드 돌파 n=11, k=2.5 |
-2.8% | -31.5% | -0.23 | -0.09 | 0.8x | 16 | 6% |
| EMA 크로스오버 fast=47, slow=57 |
-10.9% | -69.0% | -0.34 | -0.16 | 0.5x | 14 | 37% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3.7 |
-6.3% | -49.3% | -0.38 | -0.13 | 0.7x | 10 | 16% |
| Buy and hold | -15.7% | -89.8% | -0.09 | -0.17 | 0.4x | 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, 27-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)