Trend-Following Backtester · Guide · backtest 한국어
equity · KR
디아이 backtest
10 trend-following strategies were compared on the full daily history of 디아이. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.9%, MDD -66.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.1%, drawdown -87.6%).
Sharpe leader (same as main): Supertrend — CAGR 12.2%, MDD -79.4%, Sharpe 0.48, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 8.2%p (CAGR 7.9%, MDD -66.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4 |
12.2% | -79.4% | 0.48 | 0.15 | 21.4x | 109 | 47% |
| Parabolic SAR step=0.005, maxStep=0.18 |
10.8% | -86.1% | 0.45 | 0.13 | 15.5x | 191 | 48% |
| 볼린저 밴드 돌파 n=29, k=1.4 |
9.0% | -90.8% | 0.41 | 0.10 | 10.0x | 239 | 36% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=11, mult=3.9 |
7.9% | -66.2% | 0.41 | 0.12 | 7.6x | 36 | 7% |
| Donchian 채널 돌파 entryN=23, exitN=74 |
8.0% | -77.6% | 0.41 | 0.10 | 7.8x | 71 | 69% |
| SMA 크로스오버 fast=17, slow=64 |
7.3% | -79.4% | 0.38 | 0.09 | 6.5x | 123 | 47% |
| ADX / DI 방향성 period=15, threshold=13 |
6.3% | -92.7% | 0.36 | 0.07 | 5.1x | 402 | 55% |
| ROC 모멘텀 n=129, threshold=-0.02 |
5.7% | -85.8% | 0.35 | 0.07 | 4.4x | 214 | 52% |
| MACD fast=14, slow=66, signal=18 |
4.6% | -91.4% | 0.32 | 0.05 | 3.3x | 289 | 51% |
| EMA 크로스오버 fast=31, slow=43 |
4.0% | -90.5% | 0.31 | 0.04 | 2.8x | 102 | 47% |
| Buy and hold | 6.1% | -87.6% | 0.40 | 0.07 | 4.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)