Trend-Following Backtester · Guide · backtest 한국어
equity · IN
REC Limited backtest
10 trend-following strategies were compared on the full daily history of REC Limited. 6 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 11.6%, MDD -20.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.2%, drawdown -63.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.6%, MDD -20.0%, Sharpe 0.83, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.9%, MDD -52.6%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 11.6%, MDD -20.0%, exposure 10%).
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=23, threshold=31 |
11.6% | -20.0% | 0.83 | 0.58 | 7.5x | 18 | 10% |
| Donchian 채널 돌파 entryN=74, exitN=34 |
19.0% | -37.6% | 0.80 | 0.51 | 24.9x | 28 | 40% |
| SMA 크로스오버 fast=59, slow=176 |
19.9% | -52.6% | 0.79 | 0.38 | 28.6x | 21 | 51% |
| ROC 모멘텀 n=122, threshold=-0.01 |
16.4% | -58.6% | 0.67 | 0.28 | 16.6x | 116 | 53% |
| EMA 크로스오버 fast=31, slow=81 |
16.1% | -53.5% | 0.67 | 0.30 | 15.8x | 40 | 50% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=22, mult=3.3 |
12.4% | -38.0% | 0.65 | 0.33 | 8.7x | 38 | 24% |
| 볼린저 밴드 돌파 n=53, k=2.2 |
10.8% | -42.7% | 0.57 | 0.25 | 6.7x | 52 | 28% |
| Supertrend period=14, mult=3.4 |
10.5% | -60.3% | 0.50 | 0.17 | 6.4x | 96 | 50% |
| MACD fast=18, slow=49, signal=10 |
2.2% | -56.6% | 0.22 | 0.04 | 1.5x | 242 | 50% |
| Parabolic SAR step=0.02, maxStep=0.36 |
0.9% | -67.6% | 0.17 | 0.01 | 1.2x | 390 | 51% |
| Buy and hold | 11.2% | -63.2% | 0.47 | 0.18 | 7.1x | 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, 23-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)