Trend-Following Backtester · Guide · backtest 한국어
equity · GB
AJ Bell Plc backtest
10 trend-following strategies were compared on the full daily history of AJ Bell Plc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -48.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.1%, MDD -19.5%, Sharpe 0.72, 10% exposure.
CAGR reference leader: Supertrend — CAGR 11.7%, MDD -43.6%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=23 |
8.1% | -19.5% | 0.72 | 0.42 | 1.8x | 8 | 10% |
| Supertrend period=8, mult=2.6 |
11.7% | -43.6% | 0.57 | 0.27 | 2.4x | 35 | 53% |
| Donchian 채널 돌파 entryN=60, exitN=47 |
9.6% | -36.2% | 0.50 | 0.27 | 2.0x | 11 | 51% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=12, mult=2 |
6.8% | -39.8% | 0.47 | 0.17 | 1.7x | 24 | 22% |
| ROC 모멘텀 n=33, threshold=0.11 |
6.0% | -31.1% | 0.43 | 0.19 | 1.6x | 56 | 19% |
| 볼린저 밴드 돌파 n=40, k=2.3 |
6.3% | -32.2% | 0.42 | 0.19 | 1.6x | 32 | 28% |
| SMA 크로스오버 fast=56, slow=174 |
5.4% | -25.4% | 0.35 | 0.21 | 1.5x | 17 | 50% |
| EMA 크로스오버 fast=8, slow=75 |
5.0% | -49.1% | 0.33 | 0.10 | 1.5x | 41 | 53% |
| Parabolic SAR step=0.015, maxStep=0.26 |
0.5% | -71.9% | 0.14 | 0.01 | 1.0x | 150 | 53% |
| MACD fast=11, slow=56, signal=16 |
0.5% | -57.6% | 0.14 | 0.01 | 1.0x | 98 | 46% |
| Buy and hold | 14.1% | -48.4% | 0.55 | 0.29 | 2.8x | 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 ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)