Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Signify NV backtest
10 trend-following strategies were compared on the full daily history of Signify NV. 9 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 6.2%, MDD -23.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.9%, drawdown -74.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.2%, MDD -23.6%, Sharpe 0.69, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 6.2%, MDD -23.6%, exposure 12%).
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=27, threshold=22 |
6.2% | -23.6% | 0.69 | 0.26 | 1.8x | 20 | 12% |
| Donchian 채널 돌파 entryN=112, exitN=48 |
5.2% | -36.2% | 0.39 | 0.14 | 1.7x | 10 | 30% |
| ROC 모멘텀 n=84, threshold=0.11 |
2.3% | -34.9% | 0.23 | 0.07 | 1.3x | 72 | 24% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=28, mult=3.1 |
1.9% | -30.2% | 0.22 | 0.06 | 1.2x | 24 | 18% |
| SMA 크로스오버 fast=6, slow=187 |
0.8% | -59.9% | 0.14 | 0.01 | 1.1x | 28 | 40% |
| Supertrend period=13, mult=3.8 |
0.0% | -58.2% | 0.12 | 0.00 | 1.0x | 46 | 50% |
| EMA 크로스오버 fast=52, slow=55 |
-0.2% | -54.4% | 0.10 | -0.00 | 1.0x | 24 | 46% |
| 볼린저 밴드 돌파 n=31, k=2.1 |
-1.4% | -45.4% | -0.00 | -0.03 | 0.9x | 60 | 31% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.8% | -71.0% | -0.00 | -0.04 | 0.7x | 88 | 49% |
| MACD fast=24, slow=58, signal=6 |
-11.0% | -78.4% | -0.39 | -0.14 | 0.3x | 176 | 50% |
| Buy and hold | -3.9% | -74.2% | 0.06 | -0.05 | 0.7x | 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, 27-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)