Trend-Following Backtester · Guide · backtest 한국어
equity · US
D/B/A Centerspace backtest
10 trend-following strategies were compared on the full daily history of D/B/A Centerspace. 1 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 -15.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR -1.0%, drawdown -75.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -15.2%, Sharpe 0.09, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 60.0%p (CAGR 0.4%, MDD -15.2%, exposure 3%).
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=33, threshold=31 |
0.4% | -15.2% | 0.09 | 0.03 | 1.1x | 8 | 3% |
| SMA 크로스오버 fast=68, slow=401 |
-2.2% | -79.6% | 0.06 | -0.03 | 0.5x | 28 | 43% |
| Donchian 채널 돌파 entryN=195, exitN=78 |
-1.6% | -74.4% | 0.06 | -0.02 | 0.6x | 28 | 24% |
| EMA 크로스오버 fast=49, slow=261 |
-4.4% | -89.4% | -0.01 | -0.05 | 0.3x | 42 | 48% |
| Supertrend period=27, mult=4.4 |
-5.5% | -92.9% | -0.04 | -0.06 | 0.2x | 82 | 54% |
| 볼린저 밴드 돌파 n=36, k=2.9 |
-3.8% | -85.1% | -0.05 | -0.05 | 0.3x | 62 | 8% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-7.1% | -94.1% | -0.10 | -0.08 | 0.1x | 240 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=4 |
-2.0% | -57.3% | -0.10 | -0.04 | 0.6x | 10 | 2% |
| MACD fast=36, slow=50, signal=41 |
-7.8% | -91.8% | -0.13 | -0.09 | 0.1x | 218 | 50% |
| ROC 모멘텀 n=119, threshold=0.23 |
-2.5% | -63.3% | -0.14 | -0.04 | 0.5x | 44 | 4% |
| Buy and hold | -1.0% | -75.2% | 0.14 | -0.01 | 0.8x | 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, 33-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)