Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Magellan Financial Group Ltd backtest
10 trend-following strategies were compared on the full daily history of Magellan Financial Group Ltd. 6 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 10.2%, MDD -20.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 11.2%, drawdown -91.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.2%, MDD -20.4%, Sharpe 0.78, 11% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 17.7%, MDD -68.2%, exposure 58%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 71.2%p (CAGR 10.2%, MDD -20.4%, exposure 11%).
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=33, threshold=26 |
10.2% | -20.4% | 0.78 | 0.50 | 8.6x | 28 | 11% |
| ROC 모멘텀 n=157, threshold=-0.01 |
17.7% | -68.2% | 0.69 | 0.26 | 36.5x | 158 | 58% |
| EMA 크로스오버 fast=29, slow=146 |
17.4% | -71.6% | 0.67 | 0.24 | 34.5x | 39 | 59% |
| SMA 크로스오버 fast=35, slow=100 |
15.7% | -72.1% | 0.65 | 0.22 | 25.1x | 53 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=10, mult=4 |
12.1% | -53.8% | 0.65 | 0.22 | 12.4x | 60 | 26% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
13.0% | -65.5% | 0.59 | 0.20 | 14.9x | 98 | 41% |
| Donchian 채널 돌파 entryN=106, exitN=14 |
9.2% | -71.7% | 0.52 | 0.13 | 7.0x | 76 | 26% |
| Supertrend period=24, mult=5 |
11.9% | -66.9% | 0.52 | 0.18 | 12.0x | 93 | 53% |
| MACD fast=24, slow=51, signal=19 |
10.9% | -80.8% | 0.47 | 0.14 | 9.9x | 192 | 53% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.9% | -77.1% | 0.31 | 0.06 | 2.9x | 344 | 52% |
| Buy and hold | 11.2% | -91.6% | 0.46 | 0.12 | 10.4x | 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, 33-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)