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. 5 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 3.8%, MDD -6.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR -4.0%, drawdown -75.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.8%, MDD -6.3%, Sharpe 0.77, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 69.5%p (CAGR 3.8%, 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 |
3.8% | -6.3% | 0.77 | 0.60 | 1.2x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=3.6 |
1.5% | -26.3% | 0.19 | 0.06 | 1.1x | 6 | 9% |
| Parabolic SAR step=0.03, maxStep=0.18 |
0.8% | -58.8% | 0.19 | 0.01 | 1.0x | 132 | 49% |
| Supertrend period=28, mult=1.5 |
-2.0% | -61.1% | 0.08 | -0.03 | 0.9x | 74 | 46% |
| 볼린저 밴드 돌파 n=20, k=2 |
-3.2% | -50.8% | -0.07 | -0.06 | 0.8x | 36 | 24% |
| MACD fast=11, slow=19, signal=8 |
-7.9% | -64.7% | -0.09 | -0.12 | 0.6x | 105 | 48% |
| SMA 크로스오버 fast=50, slow=143 |
-5.6% | -39.1% | -0.10 | -0.14 | 0.7x | 9 | 31% |
| ROC 모멘텀 n=54, threshold=0.06 |
-5.3% | -55.4% | -0.16 | -0.09 | 0.8x | 60 | 26% |
| Donchian 채널 돌파 entryN=26, exitN=7 |
-5.7% | -59.9% | -0.22 | -0.10 | 0.7x | 34 | 23% |
| EMA 크로스오버 fast=44, slow=55 |
-15.6% | -75.6% | -0.50 | -0.21 | 0.4x | 18 | 40% |
| Buy and hold | -4.0% | -75.8% | 0.13 | -0.05 | 0.8x | 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)