Trend-Following Backtester · Guide · backtest 한국어
equity · KR
미스토홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 미스토홀딩스. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.7%, MDD -53.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -77.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -10.4%, Sharpe 0.49, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.7%, MDD -53.2%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 66.9%p (CAGR 7.7%, MDD -53.2%, exposure 55%).
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=32 |
2.7% | -10.4% | 0.49 | 0.26 | 1.5x | 2 | 2% |
| SMA 크로스오버 fast=36, slow=123 |
7.7% | -53.2% | 0.42 | 0.15 | 3.3x | 37 | 55% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=28, mult=3.7 |
3.0% | -21.1% | 0.37 | 0.14 | 1.6x | 10 | 5% |
| Supertrend period=10, mult=3.7 |
6.3% | -58.2% | 0.36 | 0.11 | 2.6x | 59 | 63% |
| EMA 크로스오버 fast=25, slow=93 |
5.9% | -50.5% | 0.35 | 0.12 | 2.5x | 46 | 55% |
| Donchian 채널 돌파 entryN=51, exitN=66 |
4.8% | -52.7% | 0.31 | 0.09 | 2.1x | 31 | 56% |
| 볼린저 밴드 돌파 n=31, k=3.3 |
2.4% | -25.0% | 0.29 | 0.09 | 1.5x | 16 | 7% |
| ROC 모멘텀 n=143, threshold=0.13 |
1.1% | -60.5% | 0.16 | 0.02 | 1.2x | 126 | 32% |
| MACD fast=24, slow=57, signal=19 |
-1.5% | -66.5% | 0.07 | -0.02 | 0.8x | 146 | 52% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-5.7% | -72.6% | -0.09 | -0.08 | 0.4x | 338 | 49% |
| Buy and hold | 7.2% | -77.3% | 0.38 | 0.09 | 3.0x | 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, 31-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)