Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Aberdeen Group plc backtest
10 trend-following strategies were compared on the full daily history of Aberdeen Group plc. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -7.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR -1.7%, drawdown -80.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -7.2%, Sharpe 0.37, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.6%, MDD -47.3%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 73.5%p (CAGR 1.0%, MDD -7.2%, exposure 2%).
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=33, threshold=29 |
1.0% | -7.2% | 0.37 | 0.14 | 1.2x | 6 | 2% |
| SMA 크로스오버 fast=109, slow=144 |
2.6% | -47.3% | 0.23 | 0.05 | 1.7x | 39 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=12, mult=4 |
0.1% | -9.6% | 0.03 | 0.01 | 1.0x | 6 | 1% |
| Supertrend period=27, mult=3.1 |
-3.8% | -78.4% | -0.04 | -0.05 | 0.5x | 130 | 53% |
| Donchian 채널 돌파 entryN=33, exitN=71 |
-4.6% | -77.2% | -0.05 | -0.06 | 0.4x | 51 | 65% |
| EMA 크로스오버 fast=60, slow=175 |
-3.4% | -77.1% | -0.09 | -0.04 | 0.5x | 29 | 45% |
| ROC 모멘텀 n=127, threshold=-0.04 |
-6.1% | -83.2% | -0.17 | -0.07 | 0.3x | 183 | 56% |
| 볼린저 밴드 돌파 n=50, k=2.1 |
-3.7% | -59.5% | -0.18 | -0.06 | 0.5x | 80 | 27% |
| MACD fast=12, slow=59, signal=19 |
-7.5% | -89.4% | -0.21 | -0.08 | 0.2x | 244 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-7.4% | -88.5% | -0.21 | -0.08 | 0.2x | 184 | 52% |
| Buy and hold | -1.7% | -80.7% | 0.13 | -0.02 | 0.7x | 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, 33-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)