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 17.1%, MDD -21.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.2%, drawdown -64.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.1%, MDD -21.6%, Sharpe 0.74, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.3%, MDD -58.4%, exposure 58%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 42.5%p (CAGR 17.1%, 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 |
17.1% | -21.6% | 0.74 | 0.79 | 5.1x | 10 | 12% |
| SMA 크로스오버 fast=56, slow=207 |
18.3% | -58.4% | 0.59 | 0.31 | 5.7x | 11 | 58% |
| EMA 크로스오버 fast=69, slow=132 |
17.4% | -58.4% | 0.58 | 0.30 | 5.2x | 11 | 61% |
| Donchian 채널 돌파 entryN=67, exitN=78 |
14.6% | -51.4% | 0.53 | 0.28 | 4.1x | 14 | 55% |
| ROC 모멘텀 n=117, threshold=0.04 |
11.1% | -58.1% | 0.46 | 0.19 | 3.0x | 96 | 50% |
| Supertrend period=8, mult=5 |
9.8% | -70.1% | 0.43 | 0.14 | 2.6x | 25 | 65% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=13, mult=3.7 |
5.1% | -19.8% | 0.37 | 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 |
2.2% | -66.9% | 0.25 | 0.03 | 1.3x | 240 | 51% |
| MACD fast=16, slow=43, signal=16 |
-7.7% | -83.8% | -0.03 | -0.09 | 0.4x | 139 | 49% |
| Buy and hold | 20.2% | -64.1% | 0.61 | 0.31 | 6.7x | 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, 26-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)