Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SG Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of SG Holdings Co., Ltd.. 2 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 5.5%, MDD -10.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -60.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -10.3%, Sharpe 0.56, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.7%, MDD -14.1%, exposure 9%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 49.9%p (CAGR 5.5%, MDD -10.3%, exposure 6%).
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=21, threshold=32 |
5.5% | -10.3% | 0.56 | 0.54 | 1.6x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=16, mult=2.7 |
3.4% | -10.9% | 0.53 | 0.32 | 1.3x | 10 | 5% |
| ROC 모멘텀 n=80, threshold=0.24 |
5.7% | -14.1% | 0.50 | 0.41 | 1.6x | 16 | 9% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
2.8% | -39.7% | 0.25 | 0.07 | 1.3x | 30 | 26% |
| Donchian 채널 돌파 entryN=46, exitN=38 |
2.9% | -51.5% | 0.25 | 0.06 | 1.3x | 23 | 38% |
| SMA 크로스오버 fast=19, slow=77 |
2.9% | -47.5% | 0.24 | 0.06 | 1.3x | 29 | 43% |
| EMA 크로스오버 fast=53, slow=180 |
2.8% | -48.9% | 0.24 | 0.06 | 1.3x | 15 | 39% |
| Supertrend period=9, mult=3 |
1.6% | -55.2% | 0.18 | 0.03 | 1.2x | 56 | 47% |
| MACD fast=16, slow=36, signal=15 |
-3.8% | -56.3% | -0.11 | -0.07 | 0.7x | 110 | 46% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-9.5% | -65.9% | -0.36 | -0.14 | 0.4x | 234 | 50% |
| Buy and hold | 5.4% | -60.2% | 0.33 | 0.09 | 1.6x | 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, 21-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)