Trend-Following Backtester · Guide · backtest 한국어
equity · KR
씨젠 backtest
10 trend-following strategies were compared on the full daily history of 씨젠. 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 14.2%, MDD -31.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.9%, drawdown -87.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.2%, MDD -31.7%, Sharpe 0.67, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.7%, MDD -70.9%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 14.2%, MDD -31.7%, exposure 5%).
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=37, threshold=33 |
14.2% | -31.7% | 0.67 | 0.45 | 8.4x | 2 | 5% |
| SMA 크로스오버 fast=56, slow=104 |
14.7% | -70.9% | 0.54 | 0.21 | 8.9x | 43 | 44% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
13.7% | -74.0% | 0.52 | 0.19 | 7.8x | 73 | 34% |
| Supertrend period=13, mult=4.1 |
12.0% | -77.7% | 0.48 | 0.16 | 6.2x | 55 | 46% |
| EMA 크로스오버 fast=13, slow=32 |
11.6% | -73.7% | 0.47 | 0.16 | 5.8x | 111 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.4 |
9.6% | -74.6% | 0.43 | 0.13 | 4.3x | 41 | 24% |
| Donchian 채널 돌파 entryN=114, exitN=31 |
9.4% | -62.7% | 0.43 | 0.15 | 4.2x | 25 | 22% |
| ROC 모멘텀 n=109, threshold=0.09 |
7.4% | -78.3% | 0.37 | 0.09 | 3.1x | 129 | 34% |
| Parabolic SAR step=0.015, maxStep=0.32 |
7.0% | -77.3% | 0.36 | 0.09 | 2.9x | 275 | 46% |
| MACD fast=11, slow=29, signal=7 |
6.8% | -73.6% | 0.36 | 0.09 | 2.9x | 313 | 50% |
| Buy and hold | 13.9% | -87.8% | 0.51 | 0.16 | 8.0x | 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, 37-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)