Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Predictive Discovery Limited backtest
10 trend-following strategies were compared on the full daily history of Predictive Discovery Limited. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.6%, MDD -60.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -5.8%, drawdown -99.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.8%, MDD -65.2%, Sharpe 0.55, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.6%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 14.6%, MDD -60.9%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=94, slow=169 |
17.8% | -65.2% | 0.55 | 0.27 | 13.0x | 7 | 40% |
| SMA 크로스오버 fast=29, slow=210 |
14.9% | -62.1% | 0.51 | 0.24 | 8.8x | 16 | 37% |
| ADX / DI 방향성 period=42, threshold=23 |
14.6% | -60.9% | 0.49 | 0.24 | 8.4x | 8 | 13% |
| ROC 모멘텀 n=148, threshold=0.04 |
3.4% | -86.5% | 0.35 | 0.04 | 1.7x | 118 | 36% |
| Donchian 채널 돌파 entryN=97, exitN=70 |
0.9% | -81.5% | 0.34 | 0.01 | 1.1x | 20 | 34% |
| Supertrend period=8, mult=4.6 |
-26.9% | -99.9% | 0.18 | -0.27 | 0.0x | 104 | 53% |
| MACD fast=17, slow=54, signal=18 |
-30.7% | -99.9% | 0.14 | -0.31 | 0.0x | 188 | 49% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-30.8% | -99.9% | 0.10 | -0.31 | 0.0x | 237 | 41% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=4 |
-7.9% | -86.9% | 0.06 | -0.09 | 0.3x | 34 | 13% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
-12.0% | -90.1% | 0.06 | -0.13 | 0.1x | 62 | 23% |
| Buy and hold | -5.8% | -99.8% | 0.43 | -0.06 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 94-day EMA crosses above the 169-day EMA
- Sell — Sell when the 94-day EMA falls below the 169-day EMA