Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ASOS Plc backtest
10 trend-following strategies were compared on the full daily history of ASOS Plc. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 29.6%, MDD -54.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.5%, drawdown -97.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 29.6%, MDD -54.1%, Sharpe 0.92, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 32.2%, MDD -60.9%, exposure 57%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 18.1%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 29.6%, MDD -54.1%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=8, slow=199 |
29.6% | -54.1% | 0.92 | 0.55 | 623.8x | 49 | 55% |
| SMA 크로스오버 fast=13, slow=70 |
32.2% | -60.9% | 0.91 | 0.53 | 1014.4x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=28, mult=3.2 |
23.7% | -58.1% | 0.85 | 0.41 | 195.4x | 51 | 39% |
| ROC 모멘텀 n=61, threshold=0.07 |
26.6% | -64.0% | 0.84 | 0.42 | 351.1x | 233 | 46% |
| Donchian 채널 돌파 entryN=34, exitN=28 |
25.2% | -67.6% | 0.78 | 0.37 | 264.7x | 75 | 53% |
| 볼린저 밴드 돌파 n=77, k=0.6 |
22.9% | -70.9% | 0.75 | 0.32 | 165.9x | 133 | 51% |
| Supertrend period=22, mult=5 |
23.5% | -83.3% | 0.73 | 0.28 | 186.9x | 55 | 58% |
| ADX / DI 방향성 period=29, threshold=17 |
14.8% | -72.4% | 0.62 | 0.20 | 30.5x | 133 | 31% |
| Parabolic SAR step=0.015, maxStep=0.2 |
9.4% | -76.6% | 0.42 | 0.12 | 9.4x | 423 | 49% |
| MACD fast=19, slow=59, signal=19 |
0.8% | -91.0% | 0.21 | 0.01 | 1.2x | 267 | 53% |
| Buy and hold | 11.5% | -97.3% | 0.47 | 0.12 | 15.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 199-day EMA
- Sell — Sell when the 8-day EMA falls below the 199-day EMA