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. 5 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
5 of 10 beat buy and hold (CAGR 12.1%, 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 20.8%, MDD -52.6%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.5%p lower 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% |
| SMA 크로스오버 fast=59, slow=176 |
20.8% | -52.6% | 0.81 | 0.39 | 32.1x | 20 | 51% |
| Donchian 채널 돌파 entryN=74, exitN=34 |
19.1% | -37.6% | 0.80 | 0.51 | 24.9x | 28 | 40% |
| EMA 크로스오버 fast=31, slow=81 |
16.9% | -53.5% | 0.69 | 0.31 | 17.5x | 39 | 50% |
| ROC 모멘텀 n=122, threshold=-0.01 |
17.1% | -58.6% | 0.69 | 0.29 | 18.1x | 111 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=22, mult=3.3 |
12.5% | -38.0% | 0.66 | 0.33 | 8.7x | 38 | 24% |
| 볼린저 밴드 돌파 n=53, k=2.2 |
10.9% | -42.7% | 0.57 | 0.26 | 6.7x | 52 | 28% |
| Supertrend period=14, mult=3.4 |
11.1% | -60.3% | 0.52 | 0.18 | 6.9x | 95 | 50% |
| MACD fast=18, slow=49, signal=10 |
2.7% | -56.6% | 0.24 | 0.05 | 1.6x | 241 | 51% |
| Parabolic SAR step=0.02, maxStep=0.36 |
1.4% | -67.2% | 0.19 | 0.02 | 1.3x | 389 | 52% |
| Buy and hold | 12.1% | -63.2% | 0.49 | 0.19 | 8.2x | 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, 23-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)