Trend-Following Backtester · Guide · backtest 한국어
equity · US
CSW Industrials, Inc. backtest
10 trend-following strategies were compared on the full daily history of CSW Industrials, Inc.. 0 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 18.3%, MDD -31.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.8%, drawdown -46.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 18.3%, MDD -31.1%, Sharpe 0.88, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p lower than buy and hold, while drawdown improves by 15.2%p (CAGR 18.3%, MDD -31.1%, exposure 53%).
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=35, threshold=9 |
18.3% | -31.1% | 0.88 | 0.59 | 6.3x | 92 | 53% |
| Donchian 채널 돌파 entryN=43, exitN=31 |
17.1% | -24.4% | 0.84 | 0.70 | 5.6x | 29 | 54% |
| Supertrend period=7, mult=4.6 |
16.1% | -34.3% | 0.81 | 0.47 | 5.1x | 27 | 57% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
14.5% | -22.2% | 0.80 | 0.65 | 4.4x | 49 | 45% |
| SMA 크로스오버 fast=42, slow=222 |
17.8% | -46.2% | 0.75 | 0.39 | 6.0x | 15 | 69% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=2.6 |
10.8% | -27.2% | 0.67 | 0.40 | 3.1x | 35 | 40% |
| EMA 크로스오버 fast=31, slow=49 |
12.2% | -41.8% | 0.61 | 0.29 | 3.5x | 37 | 62% |
| ROC 모멘텀 n=80, threshold=0.02 |
11.8% | -37.8% | 0.60 | 0.31 | 3.4x | 71 | 58% |
| Parabolic SAR step=0.005, maxStep=0.34 |
8.2% | -38.7% | 0.45 | 0.21 | 2.4x | 94 | 58% |
| MACD fast=15, slow=58, signal=10 |
1.2% | -44.3% | 0.16 | 0.03 | 1.1x | 168 | 49% |
| Buy and hold | 23.8% | -46.3% | 0.83 | 0.51 | 10.2x | 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, 35-day) is ≥ 9
- Sell — Sell when direction flips or the trend weakens (ADX < 9)