Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데지주 backtest
10 trend-following strategies were compared on the full daily history of 롯데지주. 2 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 6.9%, MDD -16.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.7%, drawdown -82.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.9%, MDD -16.6%, Sharpe 0.27, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 65.7%p (CAGR 6.9%, MDD -16.6%, exposure 16%).
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=49, threshold=37 |
6.9% | -16.6% | 0.27 | 0.41 | 5.8x | 4 | 16% |
| Donchian 채널 돌파 entryN=118, exitN=31 |
5.8% | -71.8% | 0.26 | 0.08 | 4.5x | 42 | 31% |
| ROC 모멘텀 n=147, threshold=-0.05 |
4.1% | -79.1% | 0.24 | 0.05 | 2.9x | 180 | 62% |
| EMA 크로스오버 fast=59, slow=215 |
4.1% | -64.3% | 0.23 | 0.06 | 2.9x | 28 | 55% |
| Parabolic SAR step=0.01, maxStep=0.16 |
3.2% | -67.4% | 0.21 | 0.05 | 2.3x | 254 | 52% |
| Supertrend period=29, mult=2.7 |
2.9% | -73.2% | 0.20 | 0.04 | 2.1x | 170 | 45% |
| MACD fast=6, slow=55, signal=14 |
0.5% | -73.4% | 0.15 | 0.01 | 1.1x | 379 | 50% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=4 |
-0.1% | -57.5% | 0.10 | -0.00 | 1.0x | 42 | 16% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
-1.1% | -75.9% | 0.07 | -0.01 | 0.8x | 50 | 18% |
| SMA 크로스오버 fast=59, slow=196 |
-2.2% | -61.1% | 0.02 | -0.04 | 0.6x | 42 | 48% |
| Buy and hold | 4.7% | -82.3% | 0.27 | 0.06 | 3.4x | 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, 49-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)