Trend-Following Backtester · Guide · backtest 한국어
equity · AU
New Hope Corporation Limited backtest
10 trend-following strategies were compared on the full daily history of New Hope Corporation Limited. 1 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 9.8%, MDD -65.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.8%, drawdown -84.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.8%, MDD -24.3%, Sharpe 0.56, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.6%, MDD -71.4%, exposure 54%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 60.1%p (CAGR 9.8%, MDD -65.2%, exposure 74%).
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=24 |
7.8% | -24.3% | 0.56 | 0.32 | 5.5x | 28 | 13% |
| SMA 크로스오버 fast=47, slow=77 |
12.6% | -71.4% | 0.55 | 0.18 | 15.1x | 77 | 54% |
| ROC 모멘텀 n=198, threshold=0.19 |
9.1% | -65.1% | 0.46 | 0.14 | 7.3x | 87 | 33% |
| Donchian 채널 돌파 entryN=23, exitN=73 |
9.8% | -65.2% | 0.44 | 0.15 | 8.5x | 53 | 74% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
6.8% | -61.2% | 0.41 | 0.11 | 4.5x | 70 | 30% |
| EMA 크로스오버 fast=46, slow=168 |
7.5% | -66.4% | 0.39 | 0.11 | 5.2x | 41 | 50% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=9, mult=2.7 |
5.2% | -67.9% | 0.34 | 0.08 | 3.2x | 86 | 30% |
| MACD fast=29, slow=48, signal=24 |
3.9% | -60.4% | 0.27 | 0.06 | 2.4x | 180 | 52% |
| Supertrend period=28, mult=4.4 |
3.5% | -65.5% | 0.26 | 0.05 | 2.2x | 86 | 46% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-0.6% | -79.1% | 0.12 | -0.01 | 0.9x | 347 | 50% |
| Buy and hold | 11.8% | -84.4% | 0.47 | 0.14 | 12.9x | 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, 31-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)