Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Jeudan A/S backtest
10 trend-following strategies were compared on the full daily history of Jeudan A/S. 2 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 -12.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.9%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -12.6%, Sharpe 0.42, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.3%, MDD -85.9%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 73.1%p (CAGR 1.6%, MDD -12.6%, exposure 3%).
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=35 |
1.6% | -12.6% | 0.42 | 0.13 | 1.5x | 8 | 3% |
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.11 |
8.3% | -85.9% | 0.27 | 0.10 | 8.3x | 13 | 100% |
| Donchian 채널 돌파 entryN=11, exitN=100 |
4.3% | -88.2% | 0.23 | 0.05 | 3.1x | 59 | 92% |
| EMA 크로스오버 fast=50, slow=179 |
0.2% | -89.0% | 0.20 | 0.00 | 1.1x | 27 | 57% |
| SMA 크로스오버 fast=36, slow=146 |
-0.8% | -90.7% | 0.16 | -0.01 | 0.8x | 55 | 59% |
| 볼린저 밴드 돌파 n=47, k=2.2 |
-3.0% | -89.0% | 0.04 | -0.03 | 0.4x | 110 | 31% |
| MACD fast=29, slow=59, signal=28 |
-3.9% | -91.0% | 0.01 | -0.04 | 0.3x | 184 | 49% |
| Supertrend period=16, mult=3.4 |
-4.8% | -91.1% | -0.03 | -0.05 | 0.3x | 165 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-5.1% | -90.8% | -0.04 | -0.06 | 0.2x | 161 | 54% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=27, mult=2.2 |
-4.9% | -90.0% | -0.06 | -0.05 | 0.3x | 152 | 28% |
| Buy and hold | 1.9% | -85.7% | 0.23 | 0.02 | 1.6x | 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, 31-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)