Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Pinnacle Investment Management Group Limited backtest
10 trend-following strategies were compared on the full daily history of Pinnacle Investment Management Group Limited. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.7%, MDD -37.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.7%, drawdown -96.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.3%, MDD -51.0%, Sharpe 0.92, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 30.1%, MDD -63.8%, exposure 66%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.7%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 18.7%, MDD -37.2%, exposure 28%).
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=11, slow=89 |
28.3% | -51.0% | 0.92 | 0.56 | 119.8x | 49 | 52% |
| 볼린저 밴드 돌파 n=65, k=1.3 |
26.2% | -47.2% | 0.92 | 0.56 | 87.1x | 63 | 42% |
| Donchian 채널 돌파 entryN=29, exitN=55 |
30.1% | -63.8% | 0.90 | 0.47 | 155.3x | 45 | 66% |
| EMA 크로스오버 fast=26, slow=44 |
25.2% | -54.4% | 0.84 | 0.46 | 75.4x | 63 | 54% |
| ADX / DI 방향성 period=29, threshold=24 |
18.7% | -37.2% | 0.83 | 0.50 | 26.9x | 52 | 28% |
| ROC 모멘텀 n=69, threshold=-0.01 |
24.2% | -59.1% | 0.81 | 0.41 | 63.7x | 131 | 54% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=28, mult=2.4 |
21.0% | -48.7% | 0.80 | 0.43 | 39.1x | 69 | 41% |
| Supertrend period=14, mult=4.5 |
21.9% | -69.0% | 0.76 | 0.32 | 44.9x | 93 | 54% |
| Parabolic SAR step=0.015, maxStep=0.12 |
17.4% | -72.5% | 0.64 | 0.24 | 21.8x | 256 | 50% |
| MACD fast=12, slow=51, signal=19 |
10.6% | -84.3% | 0.47 | 0.13 | 6.9x | 222 | 50% |
| Buy and hold | 8.7% | -96.7% | 0.41 | 0.09 | 4.9x | 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 11-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 11-day average falls below the 89-day average