Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HJ중공업 backtest
10 trend-following strategies were compared on the full daily history of HJ중공업. 10 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 10.2%, MDD -31.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.0%, drawdown -99.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.2%, MDD -31.0%, Sharpe 0.55, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.1%p higher than buy and hold, while drawdown improves by 68.5%p (CAGR 10.2%, MDD -31.0%, 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=14, threshold=37 |
10.2% | -31.0% | 0.55 | 0.33 | 6.2x | 32 | 7% |
| SMA 크로스오버 fast=13, slow=178 |
6.5% | -71.9% | 0.35 | 0.09 | 3.3x | 26 | 35% |
| ROC 모멘텀 n=110, threshold=0.15 |
5.9% | -63.2% | 0.34 | 0.09 | 3.0x | 108 | 25% |
| EMA 크로스오버 fast=55, slow=212 |
5.9% | -59.5% | 0.34 | 0.10 | 3.0x | 14 | 31% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
5.3% | -63.0% | 0.33 | 0.08 | 2.7x | 18 | 9% |
| Donchian 채널 돌파 entryN=119, exitN=7 |
3.5% | -45.3% | 0.28 | 0.08 | 1.9x | 34 | 6% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=25, mult=3.4 |
3.1% | -45.4% | 0.25 | 0.07 | 1.8x | 28 | 5% |
| Supertrend period=23, mult=2.3 |
-2.4% | -87.5% | 0.13 | -0.03 | 0.6x | 172 | 41% |
| MACD fast=18, slow=51, signal=8 |
-3.4% | -82.6% | 0.12 | -0.04 | 0.5x | 244 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-5.5% | -92.5% | 0.05 | -0.06 | 0.3x | 368 | 45% |
| Buy and hold | -15.0% | -99.5% | 0.01 | -0.15 | 0.0x | 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, 14-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)