Trend-Following Backtester · Guide · backtest 한국어
equity · KR
태광산업 backtest
10 trend-following strategies were compared on the full daily history of 태광산업. 10 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 5.3%, MDD -30.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.9%, drawdown -79.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.3%, MDD -30.3%, Sharpe 0.44, 6% exposure.
CAGR reference leader: MACD — CAGR 6.5%, MDD -58.7%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 5.3%, MDD -30.3%, exposure 6%).
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=34, threshold=30 |
5.3% | -30.3% | 0.44 | 0.17 | 3.9x | 18 | 6% |
| MACD fast=19, slow=38, signal=18 |
6.5% | -58.7% | 0.36 | 0.11 | 5.4x | 279 | 50% |
| SMA 크로스오버 fast=19, slow=184 |
6.1% | -61.0% | 0.35 | 0.10 | 4.8x | 58 | 45% |
| Supertrend period=28, mult=3.3 |
5.9% | -59.9% | 0.34 | 0.10 | 4.6x | 144 | 41% |
| ROC 모멘텀 n=82, threshold=-0.05 |
5.7% | -55.0% | 0.33 | 0.10 | 4.3x | 252 | 58% |
| Donchian 채널 돌파 entryN=68, exitN=79 |
5.6% | -65.7% | 0.33 | 0.09 | 4.2x | 42 | 52% |
| 볼린저 밴드 돌파 n=44, k=1.2 |
5.3% | -61.8% | 0.32 | 0.09 | 3.9x | 160 | 33% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=34, mult=1.2 |
4.9% | -64.3% | 0.31 | 0.08 | 3.5x | 170 | 35% |
| EMA 크로스오버 fast=13, slow=125 |
4.2% | -69.7% | 0.28 | 0.06 | 3.0x | 78 | 45% |
| Parabolic SAR step=0.015, maxStep=0.26 |
3.2% | -70.0% | 0.25 | 0.05 | 2.3x | 432 | 46% |
| Buy and hold | 2.9% | -79.0% | 0.27 | 0.04 | 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, 34-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)