Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대차2우B backtest
10 trend-following strategies were compared on the full daily history of 현대차2우B. 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 7.0%, MDD -52.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.4%, drawdown -81.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.0%, MDD -52.6%, Sharpe 0.42, 31% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 7.0%, MDD -52.6%, exposure 31%).
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=39, threshold=13 |
7.0% | -52.6% | 0.42 | 0.13 | 4.1x | 102 | 31% |
| SMA 크로스오버 fast=13, slow=155 |
6.8% | -73.5% | 0.39 | 0.09 | 3.9x | 58 | 51% |
| Donchian 채널 돌파 entryN=96, exitN=59 |
6.1% | -57.9% | 0.37 | 0.10 | 3.4x | 32 | 41% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=25, mult=3.9 |
5.0% | -33.1% | 0.37 | 0.15 | 2.7x | 38 | 17% |
| ROC 모멘텀 n=114, threshold=0.06 |
4.8% | -58.7% | 0.32 | 0.08 | 2.7x | 152 | 41% |
| EMA 크로스오버 fast=13, slow=121 |
4.7% | -73.0% | 0.31 | 0.06 | 2.6x | 76 | 51% |
| Supertrend period=22, mult=3 |
4.5% | -49.7% | 0.30 | 0.09 | 2.5x | 134 | 53% |
| 볼린저 밴드 돌파 n=42, k=3 |
3.0% | -55.9% | 0.27 | 0.05 | 1.9x | 38 | 15% |
| MACD fast=8, slow=58, signal=19 |
0.1% | -59.1% | 0.13 | 0.00 | 1.0x | 282 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.2% | -65.0% | 0.04 | -0.03 | 0.6x | 366 | 51% |
| Buy and hold | 6.4% | -81.6% | 0.36 | 0.08 | 3.6x | 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, 39-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)