Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Solar A/S Class B backtest
10 trend-following strategies were compared on the full daily history of Solar A/S Class B. 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 3.7%, MDD -13.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.0%, drawdown -82.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.7%, MDD -13.1%, Sharpe 0.59, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.1%, MDD -49.0%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 69.2%p (CAGR 3.7%, MDD -13.1%, exposure 9%).
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=79, threshold=29 |
3.7% | -13.1% | 0.59 | 0.28 | 2.6x | 4 | 9% |
| Donchian 채널 돌파 entryN=89, exitN=50 |
10.1% | -49.0% | 0.57 | 0.21 | 13.0x | 37 | 47% |
| SMA 크로스오버 fast=6, slow=171 |
9.6% | -47.7% | 0.55 | 0.20 | 11.4x | 61 | 53% |
| EMA 크로스오버 fast=19, slow=162 |
9.4% | -39.2% | 0.54 | 0.24 | 10.8x | 39 | 52% |
| ROC 모멘텀 n=162, threshold=0.08 |
6.4% | -53.7% | 0.43 | 0.12 | 5.2x | 123 | 40% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=24, mult=2.6 |
2.6% | -56.6% | 0.23 | 0.05 | 2.0x | 95 | 40% |
| Supertrend period=8, mult=3.9 |
1.6% | -67.3% | 0.18 | 0.02 | 1.5x | 155 | 52% |
| Parabolic SAR step=0.015, maxStep=0.08 |
1.0% | -65.8% | 0.15 | 0.01 | 1.3x | 329 | 52% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
0.6% | -64.9% | 0.12 | 0.01 | 1.2x | 93 | 34% |
| MACD fast=15, slow=34, signal=18 |
-1.8% | -68.2% | 0.02 | -0.03 | 0.6x | 331 | 49% |
| Buy and hold | -0.0% | -82.3% | 0.16 | -0.00 | 1.0x | 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, 79-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)