Trend-Following Backtester · Guide · backtest 한국어
equity · AU
PLS Group Limited backtest
10 trend-following strategies were compared on the full daily history of PLS Group Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 38.6%, MDD -56.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.1%, drawdown -99.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 38.6%, MDD -56.5%, Sharpe 0.82, 40% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 29.5%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 38.6%, MDD -56.5%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=143 |
38.6% | -56.5% | 0.82 | 0.68 | 472.8x | 28 | 40% |
| EMA 크로스오버 fast=36, slow=138 |
30.8% | -81.5% | 0.77 | 0.38 | 157.4x | 20 | 42% |
| ROC 모멘텀 n=113, threshold=0.17 |
30.2% | -66.9% | 0.77 | 0.45 | 146.0x | 76 | 34% |
| Donchian 채널 돌파 entryN=125, exitN=48 |
22.0% | -67.8% | 0.68 | 0.33 | 42.8x | 20 | 36% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
22.7% | -65.6% | 0.65 | 0.35 | 47.4x | 54 | 27% |
| ADX / DI 방향성 period=33, threshold=19 |
22.5% | -87.1% | 0.65 | 0.26 | 46.3x | 48 | 24% |
| MACD fast=32, slow=66, signal=54 |
16.6% | -95.3% | 0.55 | 0.17 | 18.2x | 78 | 60% |
| Supertrend period=5, mult=5 |
9.8% | -98.6% | 0.45 | 0.10 | 5.8x | 84 | 64% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=4 |
4.2% | -94.5% | 0.31 | 0.04 | 2.2x | 54 | 21% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-5.4% | -98.5% | 0.18 | -0.06 | 0.3x | 393 | 55% |
| Buy and hold | 9.1% | -99.1% | 0.51 | 0.09 | 5.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 41-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 41-day average falls below the 143-day average