Trend-Following Backtester · Guide · backtest 한국어
equity · KR
다우기술 backtest
10 trend-following strategies were compared on the full daily history of 다우기술. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -42.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.4%, drawdown -97.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.6%, MDD -65.0%, Sharpe 0.43, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 2.4%, MDD -42.2%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=135 |
9.6% | -65.0% | 0.43 | 0.15 | 11.4x | 52 | 52% |
| Donchian 채널 돌파 entryN=56, exitN=64 |
8.0% | -66.7% | 0.39 | 0.12 | 7.8x | 44 | 54% |
| EMA 크로스오버 fast=51, slow=76 |
7.3% | -61.5% | 0.37 | 0.12 | 6.5x | 54 | 50% |
| ROC 모멘텀 n=102, threshold=-0.04 |
4.5% | -73.4% | 0.31 | 0.06 | 3.2x | 228 | 58% |
| Supertrend period=17, mult=5 |
3.9% | -68.5% | 0.29 | 0.06 | 2.7x | 76 | 49% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=26, mult=1.3 |
2.3% | -76.0% | 0.23 | 0.03 | 1.9x | 178 | 36% |
| ADX / DI 방향성 period=34, threshold=26 |
2.4% | -42.2% | 0.22 | 0.06 | 1.9x | 28 | 8% |
| MACD fast=8, slow=27, signal=15 |
0.3% | -85.5% | 0.19 | 0.00 | 1.1x | 476 | 51% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
0.9% | -84.1% | 0.19 | 0.01 | 1.3x | 282 | 36% |
| Parabolic SAR step=0.055, maxStep=0.1 |
0.2% | -80.2% | 0.19 | 0.00 | 1.1x | 648 | 49% |
| Buy and hold | -0.4% | -97.6% | 0.26 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 47-day average falls below the 135-day average