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 13.6%, drawdown -48.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.9%, MDD -19.5%, Sharpe 0.69, 10% exposure.
CAGR reference leader: Supertrend — CAGR 11.2%, 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 |
7.9% | -19.5% | 0.69 | 0.40 | 1.8x | 7 | 10% |
| Supertrend period=8, mult=2.6 |
11.2% | -43.6% | 0.55 | 0.26 | 2.3x | 35 | 53% |
| Donchian 채널 돌파 entryN=60, exitN=47 |
9.1% | -36.2% | 0.48 | 0.25 | 1.9x | 11 | 50% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=12, mult=2 |
6.9% | -39.8% | 0.48 | 0.17 | 1.7x | 24 | 22% |
| ROC 모멘텀 n=33, threshold=0.11 |
6.1% | -31.1% | 0.43 | 0.20 | 1.6x | 56 | 19% |
| 볼린저 밴드 돌파 n=40, k=2.3 |
6.3% | -32.2% | 0.42 | 0.20 | 1.6x | 32 | 29% |
| SMA 크로스오버 fast=56, slow=174 |
4.8% | -25.4% | 0.32 | 0.19 | 1.4x | 17 | 50% |
| EMA 크로스오버 fast=8, slow=75 |
4.5% | -49.1% | 0.30 | 0.09 | 1.4x | 41 | 52% |
| MACD fast=11, slow=56, signal=16 |
0.9% | -57.6% | 0.16 | 0.02 | 1.1x | 96 | 47% |
| Parabolic SAR step=0.015, maxStep=0.26 |
0.8% | -71.9% | 0.15 | 0.01 | 1.1x | 148 | 53% |
| Buy and hold | 13.6% | -48.4% | 0.54 | 0.28 | 2.7x | 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 ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)