Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Simpar SA backtest
10 trend-following strategies were compared on the full daily history of Simpar SA. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -5.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.5%, drawdown -82.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -5.7%, Sharpe 0.90, 3% exposure.
CAGR reference leader: MACD — CAGR 6.3%, MDD -41.6%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 76.9%p (CAGR 1.9%, MDD -5.2%, exposure 2%).
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=17, threshold=39 |
5.1% | -5.7% | 0.90 | 0.89 | 1.3x | 2 | 3% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
1.9% | -5.2% | 0.55 | 0.37 | 1.1x | 2 | 2% |
| MACD fast=6, slow=44, signal=13 |
6.3% | -41.6% | 0.35 | 0.15 | 1.4x | 97 | 49% |
| SMA 크로스오버 fast=49, slow=56 |
5.6% | -53.4% | 0.33 | 0.11 | 1.4x | 40 | 45% |
| ROC 모멘텀 n=111, threshold=0.09 |
4.6% | -52.7% | 0.30 | 0.09 | 1.3x | 22 | 30% |
| Donchian 채널 돌파 entryN=75, exitN=76 |
1.0% | -55.7% | 0.21 | 0.02 | 1.1x | 8 | 48% |
| Supertrend period=30, mult=4.2 |
0.9% | -51.1% | 0.19 | 0.02 | 1.1x | 22 | 42% |
| Parabolic SAR step=0.075, maxStep=0.14 |
-1.3% | -70.3% | 0.14 | -0.02 | 0.9x | 193 | 48% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=8, mult=1.8 |
-0.4% | -41.9% | 0.08 | -0.01 | 1.0x | 36 | 16% |
| EMA 크로스오버 fast=20, slow=58 |
-9.7% | -75.7% | -0.12 | -0.13 | 0.5x | 26 | 44% |
| Buy and hold | -10.5% | -82.7% | 0.05 | -0.13 | 0.5x | 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, 17-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)