Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Dividend Growth Split Corp. Class A backtest
10 trend-following strategies were compared on the full daily history of Dividend Growth Split Corp. Class A. 8 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 5.2%, MDD -17.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -86.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.2%, MDD -17.3%, Sharpe 0.48, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 69.6%p (CAGR 5.2%, MDD -17.3%, exposure 16%).
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=28, threshold=20 |
5.2% | -17.3% | 0.48 | 0.30 | 2.6x | 58 | 16% |
| Donchian 채널 돌파 entryN=95, exitN=33 |
4.8% | -37.1% | 0.38 | 0.13 | 2.4x | 30 | 29% |
| EMA 크로스오버 fast=36, slow=117 |
5.1% | -36.7% | 0.36 | 0.14 | 2.5x | 23 | 54% |
| Supertrend period=13, mult=5 |
4.7% | -53.4% | 0.33 | 0.09 | 2.4x | 68 | 45% |
| 볼린저 밴드 돌파 n=72, k=1.7 |
3.9% | -48.7% | 0.32 | 0.08 | 2.1x | 54 | 30% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=1.6 |
3.1% | -43.0% | 0.26 | 0.07 | 1.8x | 122 | 38% |
| SMA 크로스오버 fast=11, slow=70 |
2.0% | -56.8% | 0.20 | 0.03 | 1.4x | 92 | 53% |
| ROC 모멘텀 n=130, threshold=-0.03 |
0.9% | -67.9% | 0.15 | 0.01 | 1.2x | 155 | 59% |
| MACD fast=10, slow=38, signal=19 |
-3.4% | -69.1% | -0.02 | -0.05 | 0.5x | 274 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-4.2% | -86.9% | -0.06 | -0.05 | 0.4x | 282 | 54% |
| Buy and hold | -3.1% | -86.9% | 0.14 | -0.04 | 0.6x | 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, 28-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)