Trend-Following Backtester · Guide · backtest 한국어
equity · KR
네이처셀 backtest
10 trend-following strategies were compared on the full daily history of 네이처셀. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR 3.3%, drawdown -98.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.8%, MDD -79.2%, Sharpe 0.47, 22% exposure.
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=36, threshold=20 |
11.8% | -79.2% | 0.47 | 0.15 | 19.0x | 50 | 22% |
| 볼린저 밴드 돌파 n=15, k=2 |
11.4% | -96.6% | 0.47 | 0.12 | 17.3x | 300 | 24% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=2.1 |
10.4% | -94.2% | 0.44 | 0.11 | 13.8x | 142 | 16% |
| SMA 크로스오버 fast=20, slow=162 |
5.9% | -90.2% | 0.40 | 0.07 | 4.5x | 55 | 41% |
| Supertrend period=10, mult=4.3 |
4.5% | -98.2% | 0.38 | 0.05 | 3.2x | 98 | 46% |
| Parabolic SAR step=0.01, maxStep=0.18 |
4.4% | -96.5% | 0.37 | 0.05 | 3.2x | 296 | 42% |
| Donchian 채널 돌파 entryN=76, exitN=24 |
4.6% | -87.3% | 0.34 | 0.05 | 3.3x | 52 | 20% |
| EMA 크로스오버 fast=47, slow=118 |
2.5% | -91.0% | 0.34 | 0.03 | 1.9x | 49 | 39% |
| MACD fast=15, slow=58, signal=6 |
0.0% | -98.9% | 0.32 | 0.00 | 1.0x | 464 | 48% |
| ROC 모멘텀 n=149, threshold=0.1 |
1.3% | -95.7% | 0.32 | 0.01 | 1.4x | 180 | 37% |
| Buy and hold | 3.3% | -98.2% | 0.46 | 0.03 | 2.4x | 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, 36-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)