Trend-Following Backtester · Guide · backtest 한국어
etf · AU
L1 Global Long Short Fund Limited Registered backtest
10 trend-following strategies were compared on the full daily history of L1 Global Long Short Fund Limited Registered. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -31.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -65.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -4.7%, Sharpe 0.47, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.1%, MDD -31.7%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 61.0%p (CAGR 5.1%, MDD -31.7%, exposure 55%).
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=33 |
1.3% | -4.7% | 0.47 | 0.27 | 1.4x | 2 | 2% |
| SMA 크로스오버 fast=19, slow=188 |
5.1% | -31.7% | 0.37 | 0.16 | 4.0x | 49 | 55% |
| EMA 크로스오버 fast=57, slow=213 |
4.8% | -37.7% | 0.35 | 0.13 | 3.6x | 25 | 53% |
| Donchian 채널 돌파 entryN=107, exitN=41 |
2.1% | -43.5% | 0.22 | 0.05 | 1.8x | 46 | 34% |
| ROC 모멘텀 n=141, threshold=-0.06 |
1.1% | -61.5% | 0.15 | 0.02 | 1.4x | 195 | 71% |
| Supertrend period=27, mult=4.4 |
-0.1% | -62.0% | 0.08 | -0.00 | 1.0x | 81 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=3.9 |
0.0% | -37.6% | 0.05 | 0.00 | 1.0x | 44 | 16% |
| Parabolic SAR step=0.02, maxStep=0.02 |
-1.8% | -66.3% | -0.01 | -0.03 | 0.6x | 184 | 54% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
-0.7% | -31.4% | -0.03 | -0.02 | 0.8x | 46 | 16% |
| MACD fast=19, slow=39, signal=17 |
-6.9% | -91.1% | -0.32 | -0.08 | 0.1x | 340 | 53% |
| Buy and hold | 2.3% | -65.7% | 0.21 | 0.03 | 1.9x | 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 ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)