Trend-Following Backtester · Guide · backtest 한국어
equity · KR
CJ backtest
10 trend-following strategies were compared on the full daily history of CJ. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.5%, MDD -54.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.8%, drawdown -81.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.4%, MDD -56.2%, Sharpe 0.41, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 9.5%, MDD -54.9%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=99 |
13.4% | -56.2% | 0.41 | 0.24 | 28.8x | 74 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=56 |
12.9% | -70.7% | 0.41 | 0.18 | 25.1x | 87 | 77% |
| Supertrend period=4, mult=4.6 |
10.6% | -63.6% | 0.36 | 0.17 | 14.7x | 84 | 58% |
| EMA 크로스오버 fast=41, slow=53 |
10.1% | -56.0% | 0.35 | 0.18 | 12.9x | 78 | 52% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
5.3% | -47.9% | 0.34 | 0.11 | 4.0x | 110 | 35% |
| ADX / DI 방향성 period=34, threshold=12 |
9.5% | -54.9% | 0.33 | 0.17 | 11.3x | 210 | 42% |
| ROC 모멘텀 n=148, threshold=-0.02 |
7.6% | -70.2% | 0.30 | 0.11 | 7.0x | 208 | 58% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=2.3 |
3.6% | -49.2% | 0.27 | 0.07 | 2.6x | 120 | 31% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.9% | -55.0% | 0.21 | 0.03 | 1.7x | 206 | 48% |
| MACD fast=15, slow=50, signal=19 |
0.9% | -61.3% | 0.17 | 0.01 | 1.3x | 275 | 49% |
| Buy and hold | 7.8% | -81.2% | 0.34 | 0.10 | 7.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 99-day average
- Sell — Sell (to cash) when the 20-day average falls below the 99-day average