Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Superior Plus Corp backtest
10 trend-following strategies were compared on the full daily history of Superior Plus Corp. 9 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 0.5%, MDD -3.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.8%, drawdown -83.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -3.2%, Sharpe 0.41, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.7%, MDD -48.6%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 80.5%p (CAGR 0.5%, MDD -3.2%, exposure 1%).
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=31, threshold=36 |
0.5% | -3.2% | 0.41 | 0.17 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=41, k=3.1 |
1.9% | -20.6% | 0.28 | 0.09 | 1.6x | 32 | 13% |
| SMA 크로스오버 fast=78, slow=184 |
2.7% | -48.6% | 0.25 | 0.06 | 2.0x | 31 | 50% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=3 |
1.3% | -29.3% | 0.19 | 0.04 | 1.4x | 58 | 15% |
| Donchian 채널 돌파 entryN=25, exitN=93 |
1.5% | -58.5% | 0.18 | 0.03 | 1.5x | 49 | 76% |
| EMA 크로스오버 fast=70, slow=185 |
0.0% | -52.5% | 0.08 | 0.00 | 1.0x | 29 | 49% |
| Supertrend period=29, mult=4.4 |
-0.5% | -63.2% | 0.06 | -0.01 | 0.9x | 91 | 55% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-1.8% | -66.5% | -0.02 | -0.03 | 0.6x | 180 | 53% |
| ROC 모멘텀 n=201, threshold=0.02 |
-2.5% | -74.0% | -0.09 | -0.03 | 0.5x | 168 | 46% |
| MACD fast=16, slow=53, signal=17 |
-5.5% | -80.9% | -0.20 | -0.07 | 0.2x | 302 | 53% |
| Buy and hold | -2.8% | -83.8% | 0.05 | -0.03 | 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, 31-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)