Trend-Following Backtester · Guide · backtest 한국어
equity · AU
ALS Ltd. backtest
10 trend-following strategies were compared on the full daily history of ALS Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.4%, MDD -59.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -76.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -24.3%, Sharpe 0.63, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.4%, MDD -59.9%, exposure 52%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.0%p lower than buy and hold, while drawdown improves by 52.2%p (CAGR 9.4%, MDD -59.9%, exposure 52%).
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=47, threshold=35 |
5.1% | -24.3% | 0.63 | 0.21 | 6.7x | 24 | 17% |
| Donchian 채널 돌파 entryN=74, exitN=38 |
9.4% | -59.9% | 0.56 | 0.16 | 32.2x | 98 | 52% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=20, mult=3.6 |
8.0% | -44.4% | 0.52 | 0.18 | 19.2x | 104 | 47% |
| Supertrend period=13, mult=4.5 |
9.1% | -60.1% | 0.51 | 0.15 | 28.2x | 171 | 61% |
| EMA 크로스오버 fast=34, slow=139 |
9.1% | -66.8% | 0.50 | 0.14 | 28.8x | 60 | 67% |
| ROC 모멘텀 n=90, threshold=-0.09 |
9.2% | -68.9% | 0.47 | 0.13 | 29.6x | 207 | 82% |
| SMA 크로스오버 fast=12, slow=122 |
8.2% | -60.2% | 0.47 | 0.14 | 20.5x | 118 | 62% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.3% | -65.5% | 0.44 | 0.11 | 15.2x | 224 | 56% |
| 볼린저 밴드 돌파 n=47, k=1.5 |
6.7% | -54.0% | 0.44 | 0.12 | 12.1x | 202 | 48% |
| MACD fast=19, slow=52, signal=18 |
-0.4% | -71.3% | 0.08 | -0.01 | 0.9x | 400 | 50% |
| Buy and hold | 12.0% | -76.5% | 0.52 | 0.16 | 79.4x | 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, 47-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)