Trend-Following Backtester · Guide · backtest 한국어
equity · KR
강원랜드 backtest
10 trend-following strategies were compared on the full daily history of 강원랜드. 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 0.4%, MDD -6.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 0.1%, drawdown -69.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -6.5%, Sharpe 0.15, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.5%, MDD -46.7%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 63.3%p (CAGR 0.4%, MDD -6.5%, exposure 1%).
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=35, threshold=32 |
0.4% | -6.5% | 0.15 | 0.07 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=60, slow=262 |
0.5% | -46.7% | 0.14 | 0.01 | 1.1x | 28 | 53% |
| 볼린저 밴드 돌파 n=41, k=3 |
0.0% | -36.5% | 0.06 | 0.00 | 1.0x | 38 | 11% |
| EMA 크로스오버 fast=12, slow=208 |
-1.7% | -68.0% | 0.03 | -0.03 | 0.7x | 74 | 52% |
| Donchian 채널 돌파 entryN=17, exitN=64 |
-3.4% | -79.3% | 0.01 | -0.04 | 0.4x | 84 | 74% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=7, mult=3.1 |
-0.4% | -29.0% | -0.01 | -0.01 | 0.9x | 22 | 5% |
| Supertrend period=29, mult=4.5 |
-5.3% | -84.4% | -0.11 | -0.06 | 0.3x | 92 | 53% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-6.3% | -83.4% | -0.18 | -0.08 | 0.2x | 412 | 49% |
| ROC 모멘텀 n=64, threshold=0 |
-7.4% | -88.9% | -0.24 | -0.08 | 0.1x | 370 | 51% |
| MACD fast=17, slow=22, signal=18 |
-8.9% | -94.1% | -0.28 | -0.09 | 0.1x | 351 | 52% |
| Buy and hold | 0.1% | -69.8% | 0.17 | 0.00 | 1.0x | 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, 35-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)