Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chimera Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Chimera Investment 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 0.4%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.3%, drawdown -96.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -0.5%, Sharpe 0.22, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 95.9%p (CAGR 0.4%, MDD -0.5%, exposure 0%).
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=32, threshold=30 |
0.4% | -0.5% | 0.22 | 0.88 | 1.1x | 2 | 0% |
| Supertrend period=5, mult=4.7 |
-2.2% | -53.2% | -0.02 | -0.04 | 0.7x | 58 | 49% |
| SMA 크로스오버 fast=20, slow=145 |
-2.5% | -53.1% | -0.04 | -0.05 | 0.6x | 44 | 48% |
| Donchian 채널 돌파 entryN=112, exitN=74 |
-1.9% | -45.6% | -0.06 | -0.04 | 0.7x | 26 | 39% |
| EMA 크로스오버 fast=49, slow=91 |
-2.6% | -49.8% | -0.07 | -0.05 | 0.6x | 38 | 48% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
-0.3% | -11.8% | -0.08 | -0.02 | 1.0x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=9, mult=3.1 |
-1.2% | -28.1% | -0.14 | -0.04 | 0.8x | 28 | 6% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-6.5% | -79.2% | -0.14 | -0.08 | 0.3x | 234 | 50% |
| ROC 모멘텀 n=144, threshold=0.05 |
-4.8% | -64.9% | -0.26 | -0.07 | 0.4x | 164 | 33% |
| MACD fast=12, slow=33, signal=18 |
-12.2% | -92.0% | -0.27 | -0.13 | 0.1x | 286 | 49% |
| Buy and hold | -14.3% | -96.4% | -0.14 | -0.15 | 0.1x | 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, 32-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)