Trend-Following Backtester · Guide · backtest 한국어
equity · KR
농심 backtest
10 trend-following strategies were compared on the full daily history of 농심. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -59.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -47.1%, Sharpe 0.34, 28% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=38, threshold=16 |
4.7% | -47.1% | 0.34 | 0.10 | 3.4x | 78 | 28% |
| Donchian 채널 돌파 entryN=74, exitN=37 |
4.4% | -59.4% | 0.30 | 0.07 | 3.2x | 56 | 41% |
| 볼린저 밴드 돌파 n=57, k=3.2 |
2.7% | -47.3% | 0.25 | 0.06 | 2.0x | 36 | 14% |
| SMA 크로스오버 fast=51, slow=147 |
3.0% | -70.0% | 0.24 | 0.04 | 2.2x | 56 | 54% |
| EMA 크로스오버 fast=18, slow=113 |
1.8% | -72.1% | 0.20 | 0.03 | 1.6x | 80 | 52% |
| Supertrend period=35, mult=4.3 |
1.5% | -71.3% | 0.18 | 0.02 | 1.5x | 95 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=2.8 |
1.0% | -57.7% | 0.15 | 0.02 | 1.3x | 86 | 28% |
| ROC 모멘텀 n=64, threshold=0.02 |
-2.1% | -86.2% | 0.03 | -0.02 | 0.6x | 378 | 47% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-3.4% | -90.1% | -0.03 | -0.04 | 0.4x | 461 | 50% |
| MACD fast=16, slow=31, signal=15 |
-4.1% | -85.7% | -0.06 | -0.05 | 0.3x | 363 | 51% |
| Buy and hold | 8.7% | -59.9% | 0.42 | 0.15 | 9.2x | 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, 38-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)