Trend-Following Backtester · Guide · backtest 한국어
equity · US
CTS Corporation backtest
10 trend-following strategies were compared on the full daily history of CTS Corporation. 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 5.5%, MDD -55.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -97.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -55.3%, Sharpe 0.39, 26% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.8%, MDD -69.7%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 42.1%p (CAGR 5.5%, MDD -55.3%, exposure 26%).
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=19, threshold=22 |
5.5% | -55.3% | 0.39 | 0.10 | 11.8x | 270 | 26% |
| Donchian 채널 돌파 entryN=95, exitN=50 |
5.8% | -69.7% | 0.37 | 0.08 | 14.0x | 86 | 42% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=9, mult=3.3 |
4.1% | -51.4% | 0.34 | 0.08 | 6.6x | 156 | 24% |
| EMA 크로스오버 fast=34, slow=35 |
5.3% | -76.2% | 0.33 | 0.07 | 11.0x | 196 | 56% |
| SMA 크로스오버 fast=11, slow=89 |
5.3% | -77.1% | 0.33 | 0.07 | 10.8x | 204 | 56% |
| Supertrend period=13, mult=5 |
5.2% | -80.9% | 0.33 | 0.06 | 10.7x | 173 | 54% |
| 볼린저 밴드 돌파 n=41, k=2.9 |
3.2% | -50.9% | 0.30 | 0.06 | 4.3x | 104 | 17% |
| ROC 모멘텀 n=28, threshold=-0.12 |
4.0% | -93.2% | 0.28 | 0.04 | 6.1x | 371 | 89% |
| MACD fast=19, slow=59, signal=20 |
1.6% | -84.8% | 0.20 | 0.02 | 2.1x | 460 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.7% | -90.7% | 0.16 | 0.01 | 1.4x | 382 | 53% |
| Buy and hold | 6.6% | -97.5% | 0.36 | 0.07 | 19.7x | 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, 19-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)