Trend-Following Backtester · Guide · backtest 한국어
equity · KR
원익IPS backtest
10 trend-following strategies were compared on the full daily history of 원익IPS. 0 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 -21.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.8%, drawdown -64.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.2%, MDD -21.6%, Sharpe 0.75, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 42.5%p (CAGR 17.2%, MDD -21.6%, exposure 12%).
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=26, threshold=26 |
17.2% | -21.6% | 0.75 | 0.80 | 5.1x | 10 | 12% |
| SMA 크로스오버 fast=56, slow=207 |
16.9% | -58.4% | 0.57 | 0.29 | 5.0x | 11 | 57% |
| EMA 크로스오버 fast=69, slow=132 |
16.0% | -58.4% | 0.55 | 0.27 | 4.6x | 11 | 61% |
| Donchian 채널 돌파 entryN=67, exitN=78 |
14.7% | -51.4% | 0.53 | 0.29 | 4.1x | 14 | 55% |
| ROC 모멘텀 n=117, threshold=0.04 |
11.6% | -58.1% | 0.47 | 0.20 | 3.1x | 94 | 50% |
| Supertrend period=8, mult=5 |
8.4% | -70.1% | 0.41 | 0.12 | 2.3x | 25 | 65% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=13, mult=3.7 |
5.2% | -19.8% | 0.38 | 0.26 | 1.7x | 4 | 3% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
5.3% | -41.9% | 0.33 | 0.13 | 1.7x | 8 | 8% |
| Parabolic SAR step=0.025, maxStep=0.18 |
1.6% | -66.9% | 0.24 | 0.02 | 1.2x | 238 | 51% |
| MACD fast=16, slow=43, signal=16 |
-7.1% | -83.8% | -0.01 | -0.08 | 0.5x | 138 | 49% |
| Buy and hold | 18.8% | -64.1% | 0.59 | 0.29 | 5.8x | 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, 26-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)