Trend-Following Backtester · Guide · backtest 한국어
equity · KR
제이에스링크 backtest
10 trend-following strategies were compared on the full daily history of 제이에스링크. 9 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 17.2%, MDD -35.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.7%, drawdown -91.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.2%, MDD -35.7%, Sharpe 0.70, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 20.0%, MDD -75.5%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 17.2%, 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 |
17.2% | -35.7% | 0.70 | 0.48 | 10.3x | 14 | 10% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
20.0% | -64.6% | 0.68 | 0.31 | 14.5x | 18 | 19% |
| SMA 크로스오버 fast=53, slow=68 |
20.0% | -75.5% | 0.62 | 0.27 | 14.6x | 62 | 48% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=1.9 |
13.9% | -73.3% | 0.52 | 0.19 | 6.8x | 62 | 28% |
| Donchian 채널 돌파 entryN=88, exitN=66 |
13.7% | -77.5% | 0.51 | 0.18 | 6.6x | 18 | 42% |
| EMA 크로스오버 fast=45, slow=92 |
12.8% | -83.4% | 0.49 | 0.15 | 5.9x | 25 | 45% |
| ROC 모멘텀 n=101, threshold=0 |
10.7% | -86.8% | 0.45 | 0.12 | 4.4x | 134 | 46% |
| Supertrend period=22, mult=3.8 |
5.8% | -89.3% | 0.35 | 0.07 | 2.3x | 57 | 44% |
| Parabolic SAR step=0.005, maxStep=0.14 |
5.3% | -83.1% | 0.35 | 0.06 | 2.1x | 109 | 45% |
| MACD fast=18, slow=57, signal=19 |
2.9% | -84.4% | 0.31 | 0.03 | 1.5x | 138 | 51% |
| Buy and hold | 4.7% | -91.3% | 0.41 | 0.05 | 2.0x | 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, 35-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)