Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Ashmore Group plc backtest
10 trend-following strategies were compared on the full daily history of Ashmore Group plc. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.5%, MDD -33.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.8%, drawdown -78.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -33.4%, Sharpe 0.26, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 44.7%p (CAGR 2.5%, MDD -33.4%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=2.7 |
2.5% | -33.4% | 0.26 | 0.08 | 1.6x | 34 | 16% |
| MACD fast=11, slow=44, signal=7 |
2.1% | -76.5% | 0.21 | 0.03 | 1.5x | 382 | 50% |
| ADX / DI 방향성 period=11, threshold=28 |
2.1% | -44.1% | 0.21 | 0.05 | 1.5x | 158 | 21% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=1.3 |
1.4% | -59.4% | 0.17 | 0.02 | 1.3x | 159 | 36% |
| Donchian 채널 돌파 entryN=15, exitN=9 |
1.1% | -66.7% | 0.16 | 0.02 | 1.2x | 165 | 41% |
| ROC 모멘텀 n=26, threshold=0.1 |
0.1% | -59.0% | 0.08 | 0.00 | 1.0x | 240 | 18% |
| Supertrend period=13, mult=2.2 |
-2.3% | -80.1% | 0.03 | -0.03 | 0.6x | 217 | 50% |
| Parabolic SAR step=0.04, maxStep=0.12 |
-2.6% | -88.5% | 0.01 | -0.03 | 0.6x | 535 | 51% |
| SMA 크로스오버 fast=30, slow=48 |
-3.4% | -69.0% | -0.03 | -0.05 | 0.5x | 127 | 47% |
| EMA 크로스오버 fast=9, slow=37 |
-3.9% | -84.9% | -0.05 | -0.05 | 0.5x | 163 | 49% |
| Buy and hold | 0.8% | -78.1% | 0.20 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 48-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 48-day middle average