Trend-Following Backtester · Guide · backtest 한국어
equity · KR
파크시스템스 backtest
10 trend-following strategies were compared on the full daily history of 파크시스템스. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 37.5%, drawdown -58.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.2%, MDD -14.1%, Sharpe 0.79, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.7%, MDD -55.8%, exposure 74%.
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=27 |
10.2% | -14.1% | 0.79 | 0.72 | 2.8x | 6 | 9% |
| Supertrend period=18, mult=3.2 |
19.6% | -54.6% | 0.70 | 0.36 | 6.8x | 53 | 58% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=8, mult=2.5 |
13.6% | -33.1% | 0.69 | 0.41 | 3.9x | 40 | 26% |
| Donchian 채널 돌파 entryN=15, exitN=31 |
19.7% | -55.8% | 0.66 | 0.35 | 6.8x | 45 | 74% |
| ROC 모멘텀 n=89, threshold=-0.1 |
17.7% | -58.2% | 0.61 | 0.30 | 5.7x | 105 | 80% |
| SMA 크로스오버 fast=31, slow=47 |
16.3% | -51.8% | 0.60 | 0.31 | 5.0x | 63 | 57% |
| EMA 크로스오버 fast=31, slow=101 |
12.6% | -50.3% | 0.51 | 0.25 | 3.6x | 27 | 65% |
| MACD fast=19, slow=58, signal=19 |
10.7% | -57.3% | 0.50 | 0.19 | 3.0x | 105 | 47% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
10.1% | -56.5% | 0.49 | 0.18 | 2.8x | 46 | 41% |
| Parabolic SAR step=0.015, maxStep=0.38 |
4.8% | -67.1% | 0.31 | 0.07 | 1.7x | 177 | 56% |
| Buy and hold | 37.5% | -58.9% | 0.91 | 0.64 | 30.1x | 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 ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)