Trend-Following Backtester · Guide · backtest 한국어
equity · KR
F&F backtest
10 trend-following strategies were compared on the full daily history of F&F. 4 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 3.9%, MDD -6.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.6%, drawdown -75.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -6.3%, Sharpe 0.78, 2% exposure.
CAGR reference leader: Parabolic SAR — CAGR 6.1%, MDD -58.8%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 69.5%p (CAGR 3.9%, MDD -6.3%, exposure 2%).
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=28, threshold=29 |
3.9% | -6.3% | 0.78 | 0.61 | 1.2x | 2 | 2% |
| Parabolic SAR step=0.03, maxStep=0.18 |
6.1% | -58.8% | 0.35 | 0.10 | 1.4x | 131 | 49% |
| Supertrend period=28, mult=1.5 |
3.2% | -61.1% | 0.25 | 0.05 | 1.2x | 73 | 47% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=3.6 |
1.6% | -26.3% | 0.20 | 0.06 | 1.1x | 6 | 9% |
| MACD fast=11, slow=19, signal=8 |
-3.9% | -64.7% | 0.02 | -0.06 | 0.8x | 103 | 49% |
| SMA 크로스오버 fast=50, slow=143 |
-2.2% | -38.5% | 0.01 | -0.06 | 0.9x | 9 | 30% |
| 볼린저 밴드 돌파 n=20, k=2 |
-3.3% | -50.8% | -0.08 | -0.06 | 0.8x | 36 | 24% |
| ROC 모멘텀 n=54, threshold=0.06 |
-5.3% | -55.4% | -0.16 | -0.10 | 0.8x | 60 | 27% |
| Donchian 채널 돌파 entryN=26, exitN=7 |
-5.8% | -59.9% | -0.22 | -0.10 | 0.7x | 34 | 23% |
| EMA 크로스오버 fast=44, slow=55 |
-12.7% | -72.1% | -0.42 | -0.18 | 0.5x | 17 | 40% |
| Buy and hold | -0.6% | -75.8% | 0.20 | -0.01 | 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, 28-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)