Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에스티팜 backtest
10 trend-following strategies were compared on the full daily history of 에스티팜. 5 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 14.1%, MDD -57.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.8%, drawdown -77.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.1%, MDD -57.4%, Sharpe 0.54, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 14.1%, MDD -57.4%, exposure 33%).
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=20, threshold=18 |
14.1% | -57.4% | 0.54 | 0.24 | 3.8x | 66 | 33% |
| ROC 모멘텀 n=110, threshold=0.14 |
11.8% | -63.0% | 0.48 | 0.19 | 3.1x | 66 | 35% |
| EMA 크로스오버 fast=6, slow=174 |
11.5% | -66.6% | 0.47 | 0.17 | 3.0x | 30 | 43% |
| SMA 크로스오버 fast=18, slow=122 |
10.7% | -61.6% | 0.45 | 0.17 | 2.8x | 22 | 46% |
| Donchian 채널 돌파 entryN=17, exitN=48 |
9.3% | -71.9% | 0.42 | 0.13 | 2.5x | 38 | 69% |
| 볼린저 밴드 돌파 n=72, k=1.4 |
6.7% | -63.5% | 0.36 | 0.10 | 1.9x | 40 | 38% |
| Supertrend period=22, mult=3.6 |
5.4% | -57.7% | 0.33 | 0.09 | 1.7x | 46 | 44% |
| Parabolic SAR step=0.005, maxStep=0.04 |
3.8% | -60.6% | 0.29 | 0.06 | 1.5x | 69 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=1.1 |
3.7% | -66.7% | 0.29 | 0.05 | 1.4x | 72 | 39% |
| MACD fast=24, slow=31, signal=49 |
2.7% | -53.1% | 0.26 | 0.05 | 1.3x | 71 | 49% |
| Buy and hold | 7.8% | -77.9% | 0.41 | 0.10 | 2.1x | 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, 20-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)