Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Mesoblast Limited backtest
10 trend-following strategies were compared on the full daily history of Mesoblast Limited. 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 15.7%, MDD -49.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.8%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.7%, MDD -49.6%, Sharpe 0.54, 19% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 15.7%, MDD -49.6%, exposure 19%).
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=21 |
15.7% | -49.6% | 0.54 | 0.32 | 23.9x | 52 | 19% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
13.8% | -87.7% | 0.50 | 0.16 | 16.6x | 70 | 28% |
| SMA 크로스오버 fast=53, slow=189 |
12.3% | -74.8% | 0.48 | 0.16 | 12.5x | 27 | 45% |
| Parabolic SAR step=0.01, maxStep=0.14 |
12.8% | -92.3% | 0.48 | 0.14 | 13.7x | 230 | 47% |
| Donchian 채널 돌파 entryN=29, exitN=9 |
12.5% | -83.5% | 0.47 | 0.15 | 13.1x | 136 | 25% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=9, mult=1.7 |
10.2% | -87.6% | 0.42 | 0.12 | 8.3x | 166 | 24% |
| MACD fast=9, slow=46, signal=19 |
8.9% | -86.7% | 0.42 | 0.10 | 6.4x | 292 | 51% |
| Supertrend period=11, mult=3.1 |
9.3% | -85.3% | 0.41 | 0.11 | 7.0x | 152 | 43% |
| ROC 모멘텀 n=118, threshold=0.08 |
8.8% | -80.3% | 0.41 | 0.11 | 6.3x | 174 | 39% |
| EMA 크로스오버 fast=16, slow=75 |
2.9% | -97.4% | 0.31 | 0.03 | 1.9x | 88 | 45% |
| Buy and hold | 6.8% | -97.2% | 0.44 | 0.07 | 4.2x | 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, 33-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)