Trend-Following Backtester · Guide · backtest 한국어
equity · JP
COMSYS Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of COMSYS Holdings Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -69.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -13.2%, Sharpe 0.45, 5% exposure.
CAGR reference leader: Parabolic SAR — CAGR 6.4%, MDD -40.3%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=27, threshold=31 |
2.3% | -13.2% | 0.45 | 0.17 | 1.7x | 12 | 5% |
| Parabolic SAR step=0.01, maxStep=0.16 |
6.4% | -40.3% | 0.40 | 0.16 | 4.1x | 304 | 55% |
| EMA 크로스오버 fast=10, slow=237 |
5.4% | -51.7% | 0.37 | 0.10 | 3.3x | 59 | 59% |
| SMA 크로스오버 fast=33, slow=147 |
5.5% | -49.2% | 0.36 | 0.11 | 3.4x | 43 | 59% |
| Donchian 채널 돌파 entryN=90, exitN=56 |
4.9% | -39.9% | 0.35 | 0.12 | 3.0x | 35 | 51% |
| MACD fast=13, slow=26, signal=16 |
3.7% | -44.2% | 0.29 | 0.08 | 2.3x | 318 | 50% |
| Supertrend period=24, mult=4.3 |
2.1% | -57.5% | 0.21 | 0.04 | 1.6x | 96 | 60% |
| 볼린저 밴드 돌파 n=77, k=2.5 |
1.6% | -44.8% | 0.19 | 0.04 | 1.4x | 40 | 23% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=3.6 |
1.4% | -34.6% | 0.19 | 0.04 | 1.4x | 48 | 17% |
| ROC 모멘텀 n=129, threshold=-0.01 |
1.3% | -63.5% | 0.17 | 0.02 | 1.3x | 183 | 63% |
| Buy and hold | 9.3% | -69.9% | 0.45 | 0.13 | 7.6x | 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, 27-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)