Trend-Following Backtester · Guide · backtest 한국어
equity · KR
제이에스링크 backtest
10 trend-following strategies were compared on the full daily history of 제이에스링크. 10 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 17.3%, MDD -35.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.8%, drawdown -91.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.3%, MDD -35.7%, Sharpe 0.71, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.2%, MDD -75.5%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 17.3%, MDD -35.7%, 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=35, threshold=28 |
17.3% | -35.7% | 0.71 | 0.49 | 10.3x | 14 | 10% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
20.1% | -64.6% | 0.68 | 0.31 | 14.5x | 18 | 19% |
| SMA 크로스오버 fast=53, slow=68 |
20.2% | -75.5% | 0.62 | 0.27 | 14.6x | 62 | 49% |
| EMA 크로스오버 fast=45, slow=92 |
14.3% | -83.4% | 0.52 | 0.17 | 7.0x | 23 | 45% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=1.9 |
14.0% | -73.3% | 0.52 | 0.19 | 6.8x | 62 | 29% |
| Donchian 채널 돌파 entryN=88, exitN=66 |
13.8% | -77.5% | 0.51 | 0.18 | 6.6x | 18 | 43% |
| ROC 모멘텀 n=101, threshold=0 |
11.4% | -86.8% | 0.47 | 0.13 | 4.8x | 128 | 46% |
| Supertrend period=22, mult=3.8 |
7.6% | -89.3% | 0.39 | 0.08 | 2.9x | 56 | 44% |
| Parabolic SAR step=0.005, maxStep=0.14 |
6.7% | -83.1% | 0.38 | 0.08 | 2.6x | 108 | 45% |
| MACD fast=18, slow=57, signal=19 |
4.0% | -84.4% | 0.33 | 0.05 | 1.8x | 136 | 51% |
| Buy and hold | 3.8% | -91.3% | 0.39 | 0.04 | 1.7x | 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, 35-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)