Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Cicor Technologies backtest
10 trend-following strategies were compared on the full daily history of Cicor Technologies. 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 5.6%, MDD -42.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.0%, drawdown -96.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.1%, MDD -45.9%, Sharpe 0.58, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 50.9%p (CAGR 5.6%, MDD -42.7%, exposure 19%).
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=34, threshold=21 |
10.1% | -45.9% | 0.58 | 0.22 | 14.8x | 56 | 17% |
| Donchian 채널 돌파 entryN=111, exitN=43 |
7.6% | -47.3% | 0.43 | 0.16 | 7.7x | 44 | 37% |
| SMA 크로스오버 fast=10, slow=184 |
8.5% | -56.0% | 0.43 | 0.15 | 10.0x | 56 | 48% |
| EMA 크로스오버 fast=21, slow=77 |
7.6% | -51.6% | 0.40 | 0.15 | 7.7x | 80 | 48% |
| 볼린저 밴드 돌파 n=48, k=3 |
5.6% | -42.7% | 0.38 | 0.13 | 4.6x | 64 | 19% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=26, mult=3.7 |
5.2% | -43.1% | 0.36 | 0.12 | 4.1x | 80 | 21% |
| MACD fast=17, slow=72, signal=53 |
3.3% | -77.4% | 0.26 | 0.04 | 2.5x | 186 | 52% |
| Supertrend period=27, mult=5 |
3.1% | -68.2% | 0.25 | 0.05 | 2.3x | 90 | 47% |
| ROC 모멘텀 n=147, threshold=-0.02 |
2.0% | -73.1% | 0.21 | 0.03 | 1.8x | 210 | 52% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-0.1% | -70.3% | 0.15 | -0.00 | 1.0x | 303 | 47% |
| Buy and hold | -5.0% | -96.8% | 0.15 | -0.05 | 0.2x | 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, 34-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)