Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD현대 backtest
10 trend-following strategies were compared on the full daily history of HD현대. 1 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 8.4%, MDD -20.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -67.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.4%, MDD -20.6%, Sharpe 0.56, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 10.9%, MDD -50.2%, exposure 78%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 46.5%p (CAGR 8.4%, MDD -20.6%, exposure 10%).
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=47, threshold=23 |
8.4% | -20.6% | 0.56 | 0.41 | 2.1x | 2 | 10% |
| Donchian 채널 돌파 entryN=30, exitN=87 |
10.9% | -50.2% | 0.49 | 0.22 | 2.6x | 16 | 78% |
| 볼린저 밴드 돌파 n=29, k=1.6 |
8.6% | -34.9% | 0.47 | 0.25 | 2.1x | 66 | 33% |
| MACD fast=12, slow=35, signal=9 |
9.2% | -51.4% | 0.47 | 0.18 | 2.3x | 141 | 52% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=18, mult=1.6 |
7.1% | -34.0% | 0.43 | 0.21 | 1.9x | 64 | 27% |
| Supertrend period=30, mult=3.1 |
7.7% | -44.3% | 0.42 | 0.17 | 2.0x | 60 | 47% |
| SMA 크로스오버 fast=24, slow=173 |
7.7% | -43.9% | 0.41 | 0.18 | 2.0x | 24 | 53% |
| EMA 크로스오버 fast=56, slow=137 |
6.3% | -46.6% | 0.36 | 0.14 | 1.8x | 20 | 55% |
| Parabolic SAR step=0.025, maxStep=0.18 |
5.9% | -48.3% | 0.35 | 0.12 | 1.7x | 194 | 51% |
| ROC 모멘텀 n=139, threshold=-0.03 |
5.0% | -53.8% | 0.32 | 0.09 | 1.6x | 81 | 59% |
| Buy and hold | 10.7% | -67.1% | 0.46 | 0.16 | 2.5x | 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, 47-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)