Trend-Following Backtester · Guide · backtest 한국어
equity · NL
CTP N.V. backtest
10 trend-following strategies were compared on the full daily history of CTP N.V.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.3%, MDD -4.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -54.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -13.1%, Sharpe 0.40, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.0%, MDD -43.9%, exposure 86%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 1.3%, MDD -4.5%, exposure 3%).
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=29, threshold=26 |
2.2% | -13.1% | 0.40 | 0.17 | 1.1x | 2 | 6% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
1.3% | -4.5% | 0.38 | 0.29 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=8, exitN=78 |
5.0% | -43.9% | 0.32 | 0.11 | 1.3x | 12 | 86% |
| Parabolic SAR step=0.01, maxStep=0.14 |
3.0% | -26.1% | 0.25 | 0.12 | 1.2x | 69 | 51% |
| Supertrend period=24, mult=4.9 |
2.1% | -27.4% | 0.21 | 0.08 | 1.1x | 16 | 56% |
| SMA 크로스오버 fast=21, slow=189 |
1.7% | -26.6% | 0.18 | 0.06 | 1.1x | 8 | 55% |
| ROC 모멘텀 n=110, threshold=-0.07 |
0.9% | -26.2% | 0.14 | 0.03 | 1.0x | 47 | 64% |
| EMA 크로스오버 fast=46, slow=90 |
0.6% | -28.1% | 0.13 | 0.02 | 1.0x | 12 | 58% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=2.9 |
0.2% | -5.7% | 0.09 | 0.04 | 1.0x | 2 | 1% |
| MACD fast=17, slow=27, signal=13 |
-3.9% | -38.9% | -0.12 | -0.10 | 0.8x | 82 | 51% |
| Buy and hold | 0.2% | -54.3% | 0.14 | 0.00 | 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, 29-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)