Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Foroya Banki backtest
10 trend-following strategies were compared on the full daily history of Foroya Banki. 4 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 5.5%, MDD -21.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.1%, drawdown -78.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -21.2%, Sharpe 0.57, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 56.9%p (CAGR 5.5%, MDD -21.2%, exposure 12%).
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=13, threshold=37 |
5.5% | -21.2% | 0.57 | 0.26 | 2.8x | 65 | 12% |
| SMA 크로스오버 fast=22, slow=215 |
2.9% | -53.4% | 0.24 | 0.05 | 1.7x | 31 | 46% |
| EMA 크로스오버 fast=45, slow=174 |
1.7% | -58.7% | 0.19 | 0.03 | 1.4x | 31 | 45% |
| Supertrend period=23, mult=4.6 |
1.2% | -49.0% | 0.17 | 0.02 | 1.3x | 53 | 49% |
| MACD fast=13, slow=50, signal=24 |
1.1% | -58.5% | 0.16 | 0.02 | 1.2x | 181 | 52% |
| Donchian 채널 돌파 entryN=81, exitN=49 |
-0.1% | -54.7% | 0.10 | -0.00 | 1.0x | 37 | 39% |
| 볼린저 밴드 돌파 n=38, k=1.4 |
-0.7% | -64.8% | 0.06 | -0.01 | 0.9x | 131 | 37% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=3.5 |
-0.8% | -51.6% | 0.02 | -0.02 | 0.9x | 48 | 20% |
| ROC 모멘텀 n=144, threshold=0.06 |
-1.9% | -69.3% | 0.02 | -0.03 | 0.7x | 122 | 38% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-8.9% | -87.7% | -0.30 | -0.10 | 0.2x | 271 | 50% |
| Buy and hold | 1.1% | -78.1% | 0.20 | 0.01 | 1.2x | 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, 13-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)