Trend-Following Backtester · Guide · backtest 한국어
equity · GR
CrediaBank S.A. backtest
10 trend-following strategies were compared on the full daily history of CrediaBank S.A.. 10 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 0.5%, MDD -4.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.0%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -4.2%, Sharpe 0.47, 3% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 4.3%, MDD -77.9%, exposure 11%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.5%p higher than buy and hold, while drawdown improves by 95.8%p (CAGR 0.5%, MDD -4.2%, 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=40, threshold=46 |
0.5% | -4.2% | 0.47 | 0.13 | 1.2x | 4 | 3% |
| 볼린저 밴드 돌파 n=21, k=1.8 |
4.3% | -77.9% | 0.19 | 0.06 | 5.6x | 136 | 11% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-3.9% | -98.3% | 0.14 | -0.04 | 0.2x | 328 | 64% |
| ROC 모멘텀 n=14, threshold=-0.04 |
-11.6% | -99.7% | 0.06 | -0.12 | 0.0x | 406 | 85% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=2.8 |
-1.4% | -90.9% | 0.06 | -0.02 | 0.6x | 56 | 8% |
| SMA 크로스오버 fast=20, slow=160 |
-2.3% | -82.9% | 0.03 | -0.03 | 0.4x | 44 | 17% |
| MACD fast=9, slow=41, signal=14 |
-15.4% | -100.0% | 0.03 | -0.15 | 0.0x | 284 | 77% |
| Supertrend period=11, mult=4.4 |
-4.1% | -92.4% | 0.02 | -0.04 | 0.2x | 66 | 23% |
| EMA 크로스오버 fast=57, slow=59 |
-3.4% | -84.0% | -0.02 | -0.04 | 0.2x | 30 | 14% |
| Donchian 채널 돌파 entryN=89, exitN=29 |
-6.6% | -97.2% | -0.03 | -0.07 | 0.1x | 38 | 60% |
| Buy and hold | -34.0% | -100.0% | -0.09 | -0.34 | 0.0x | 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, 40-day) is ≥ 46
- Sell — Sell when direction flips or the trend weakens (ADX < 46)