Trend-Following Backtester · Guide · backtest 한국어
equity · KR
GS리테일 backtest
10 trend-following strategies were compared on the full daily history of GS리테일. 6 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 3.2%, MDD -15.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.5%, drawdown -83.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -15.1%, Sharpe 0.42, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.5%, MDD -65.7%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 3.2%, MDD -15.1%, exposure 3%).
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=31, threshold=34 |
3.2% | -15.1% | 0.42 | 0.21 | 1.6x | 4 | 3% |
| SMA 크로스오버 fast=77, slow=152 |
3.5% | -65.7% | 0.27 | 0.05 | 1.7x | 33 | 46% |
| Donchian 채널 돌파 entryN=111, exitN=57 |
1.0% | -62.2% | 0.16 | 0.02 | 1.2x | 17 | 33% |
| EMA 크로스오버 fast=53, slow=268 |
0.1% | -70.4% | 0.11 | 0.00 | 1.0x | 19 | 35% |
| ROC 모멘텀 n=136, threshold=0.11 |
-0.3% | -66.7% | 0.09 | -0.00 | 1.0x | 139 | 25% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=15, mult=2.3 |
0.1% | -16.6% | 0.04 | 0.01 | 1.0x | 10 | 2% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
-0.5% | -31.3% | -0.02 | -0.02 | 0.9x | 8 | 5% |
| Supertrend period=10, mult=4.6 |
-5.5% | -80.7% | -0.04 | -0.07 | 0.4x | 47 | 60% |
| MACD fast=15, slow=75, signal=17 |
-5.9% | -72.0% | -0.09 | -0.08 | 0.4x | 158 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-6.5% | -78.2% | -0.11 | -0.08 | 0.4x | 118 | 51% |
| Buy and hold | -0.5% | -83.8% | 0.17 | -0.01 | 0.9x | 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, 31-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)