Trend-Following Backtester · Guide · backtest 한국어
equity · US
Keel Infrastructure Corp. backtest
10 trend-following strategies were compared on the full daily history of Keel Infrastructure Corp.. 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 72.4%, MDD -55.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 19.3%, drawdown -95.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 72.4%, MDD -55.9%, Sharpe 1.08, 23% exposure.
CAGR reference leader: MACD — CAGR 75.2%, MDD -81.3%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 53.1%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 72.4%, MDD -55.9%, exposure 23%).
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=12, threshold=30 |
72.4% | -55.9% | 1.08 | 1.30 | 46.3x | 38 | 23% |
| MACD fast=17, slow=54, signal=17 |
75.2% | -81.3% | 1.04 | 0.92 | 51.8x | 66 | 49% |
| Donchian 채널 돌파 entryN=90, exitN=19 |
61.7% | -59.4% | 1.03 | 1.04 | 29.5x | 12 | 18% |
| 볼린저 밴드 돌파 n=20, k=1.2 |
66.6% | -79.3% | 1.01 | 0.84 | 36.4x | 74 | 33% |
| Supertrend period=14, mult=2.6 |
66.4% | -66.5% | 1.00 | 1.00 | 36.2x | 62 | 34% |
| ROC 모멘텀 n=22, threshold=0.11 |
65.3% | -64.8% | 1.00 | 1.01 | 34.5x | 116 | 33% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=28, mult=1.4 |
55.9% | -73.4% | 0.93 | 0.76 | 22.8x | 58 | 29% |
| SMA 크로스오버 fast=20, slow=203 |
53.4% | -73.6% | 0.90 | 0.73 | 20.4x | 11 | 44% |
| EMA 크로스오버 fast=31, slow=148 |
47.4% | -73.6% | 0.86 | 0.64 | 15.3x | 12 | 42% |
| Parabolic SAR step=0.015, maxStep=0.3 |
41.0% | -76.4% | 0.80 | 0.54 | 11.2x | 108 | 41% |
| Buy and hold | 19.3% | -95.7% | 0.72 | 0.20 | 3.5x | 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, 12-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)