Trend-Following Backtester · Guide · backtest 한국어
equity · CH
DKSH Holding Ltd backtest
10 trend-following strategies were compared on the full daily history of DKSH Holding Ltd. 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 1.6%, MDD -9.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.9%, drawdown -50.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -9.4%, Sharpe 0.44, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.8%, MDD -37.7%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 41.1%p (CAGR 1.6%, MDD -9.4%, 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=30, threshold=34 |
1.6% | -9.4% | 0.44 | 0.17 | 1.3x | 2 | 2% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
1.4% | -23.8% | 0.29 | 0.06 | 1.2x | 10 | 8% |
| SMA 크로스오버 fast=44, slow=214 |
1.8% | -37.7% | 0.19 | 0.05 | 1.3x | 21 | 53% |
| EMA 크로스오버 fast=103, slow=159 |
1.0% | -38.1% | 0.14 | 0.03 | 1.2x | 15 | 48% |
| Donchian 채널 돌파 entryN=68, exitN=28 |
0.8% | -44.8% | 0.12 | 0.02 | 1.1x | 35 | 35% |
| ROC 모멘텀 n=108, threshold=-0.09 |
-1.0% | -57.7% | 0.05 | -0.02 | 0.9x | 101 | 75% |
| Supertrend period=24, mult=2.9 |
-2.0% | -58.1% | -0.04 | -0.03 | 0.7x | 99 | 54% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=4 |
-0.6% | -32.3% | -0.08 | -0.02 | 0.9x | 12 | 5% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.0% | -69.9% | -0.24 | -0.07 | 0.5x | 231 | 50% |
| MACD fast=14, slow=46, signal=16 |
-5.3% | -66.1% | -0.25 | -0.08 | 0.5x | 179 | 52% |
| Buy and hold | 1.9% | -50.4% | 0.20 | 0.04 | 1.3x | 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, 30-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)