Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Trisura Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of Trisura Group Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.4%, MDD -29.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 23.1%, drawdown -40.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 16.5%, MDD -34.6%, Sharpe 0.88, 26% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.5%, MDD -38.7%, exposure 72%.
Return/drawdown alternative: Supertrend — CAGR is 6.5%p lower than buy and hold, while drawdown improves by 5.5%p (CAGR 18.4%, MDD -29.9%, exposure 61%).
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=39, threshold=16 |
16.5% | -34.6% | 0.88 | 0.48 | 3.9x | 18 | 26% |
| ROC 모멘텀 n=142, threshold=-0.05 |
22.5% | -38.7% | 0.86 | 0.58 | 6.0x | 37 | 72% |
| MACD fast=10, slow=46, signal=14 |
18.7% | -44.9% | 0.84 | 0.42 | 4.5x | 104 | 48% |
| Supertrend period=8, mult=5 |
18.4% | -29.9% | 0.82 | 0.62 | 4.4x | 27 | 61% |
| Donchian 채널 돌파 entryN=20, exitN=15 |
17.1% | -34.2% | 0.81 | 0.50 | 4.0x | 54 | 51% |
| 볼린저 밴드 돌파 n=23, k=3.2 |
9.3% | -17.6% | 0.79 | 0.53 | 2.2x | 22 | 13% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=29, mult=3.2 |
12.5% | -36.1% | 0.76 | 0.35 | 2.8x | 30 | 29% |
| SMA 크로스오버 fast=23, slow=40 |
15.5% | -31.6% | 0.70 | 0.49 | 3.6x | 57 | 56% |
| Parabolic SAR step=0.005, maxStep=0.28 |
14.0% | -41.7% | 0.68 | 0.34 | 3.2x | 70 | 54% |
| EMA 크로스오버 fast=8, slow=138 |
15.1% | -38.9% | 0.65 | 0.39 | 3.5x | 33 | 64% |
| Buy and hold | 23.1% | -40.1% | 0.79 | 0.58 | 6.2x | 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, 39-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)