Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Aerospace Industrial Development Corp. backtest
10 trend-following strategies were compared on the full daily history of Aerospace Industrial Development Corp.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -42.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -8.8%, Sharpe 0.46, 3% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.5%, MDD -44.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=31, threshold=34 |
3.2% | -8.8% | 0.46 | 0.36 | 1.5x | 2 | 3% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
5.5% | -44.5% | 0.34 | 0.12 | 1.9x | 3 | 100% |
| EMA 크로스오버 fast=23, slow=24 |
3.1% | -44.5% | 0.25 | 0.07 | 1.4x | 65 | 47% |
| SMA 크로스오버 fast=11, slow=50 |
2.6% | -45.0% | 0.23 | 0.06 | 1.4x | 69 | 48% |
| Supertrend period=20, mult=4.1 |
1.6% | -53.3% | 0.19 | 0.03 | 1.2x | 49 | 49% |
| 볼린저 밴드 돌파 n=48, k=1.8 |
1.5% | -53.3% | 0.18 | 0.03 | 1.2x | 59 | 32% |
| MACD fast=13, slow=31, signal=9 |
0.8% | -45.5% | 0.15 | 0.02 | 1.1x | 184 | 50% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=9, mult=1.6 |
0.8% | -55.1% | 0.14 | 0.02 | 1.1x | 75 | 29% |
| Donchian 채널 돌파 entryN=16, exitN=36 |
0.1% | -56.9% | 0.12 | 0.00 | 1.0x | 57 | 61% |
| Parabolic SAR step=0.025, maxStep=0.36 |
-5.0% | -61.6% | -0.13 | -0.08 | 0.5x | 241 | 49% |
| Buy and hold | 6.9% | -42.7% | 0.38 | 0.16 | 2.2x | 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, 31-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)