Trend-Following Backtester · Guide · backtest 한국어
equity · KR
아모레퍼시픽 backtest
10 trend-following strategies were compared on the full daily history of 아모레퍼시픽. 0 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 4.6%, MDD -15.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -79.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -15.2%, Sharpe 0.50, 7% exposure.
CAGR reference leader: Supertrend — CAGR 6.0%, MDD -60.9%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 64.6%p (CAGR 4.6%, MDD -15.2%, exposure 7%).
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=31 |
4.6% | -15.2% | 0.50 | 0.30 | 2.5x | 14 | 7% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=3.1 |
5.4% | -45.4% | 0.37 | 0.12 | 2.9x | 58 | 24% |
| 볼린저 밴드 돌파 n=56, k=1.9 |
5.7% | -40.3% | 0.36 | 0.14 | 3.0x | 75 | 35% |
| Supertrend period=13, mult=3.1 |
6.0% | -60.9% | 0.35 | 0.10 | 3.2x | 111 | 54% |
| Donchian 채널 돌파 entryN=39, exitN=27 |
4.7% | -56.6% | 0.31 | 0.08 | 2.5x | 67 | 46% |
| SMA 크로스오버 fast=24, slow=57 |
4.7% | -51.8% | 0.31 | 0.09 | 2.5x | 81 | 51% |
| EMA 크로스오버 fast=17, slow=22 |
4.6% | -61.5% | 0.30 | 0.07 | 2.4x | 131 | 52% |
| ROC 모멘텀 n=40, threshold=0.03 |
1.6% | -63.1% | 0.19 | 0.03 | 1.4x | 265 | 44% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-0.1% | -72.2% | 0.13 | -0.00 | 1.0x | 167 | 49% |
| MACD fast=16, slow=54, signal=17 |
-7.2% | -87.0% | -0.13 | -0.08 | 0.2x | 237 | 48% |
| Buy and hold | 6.1% | -79.8% | 0.35 | 0.08 | 3.3x | 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 ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)