Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Chrysalis Investments Limited backtest
10 trend-following strategies were compared on the full daily history of Chrysalis Investments Limited. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -1.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.4%, drawdown -81.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 14.8%, MDD -46.0%, Sharpe 0.64, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.2%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 0.7%, MDD -1.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.04 |
14.8% | -46.0% | 0.64 | 0.32 | 2.9x | 50 | 53% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=28, mult=1.6 |
12.5% | -25.9% | 0.63 | 0.48 | 2.5x | 30 | 39% |
| Supertrend period=10, mult=2.2 |
13.9% | -40.5% | 0.59 | 0.34 | 2.7x | 44 | 59% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
5.5% | -16.1% | 0.56 | 0.34 | 1.5x | 8 | 15% |
| ROC 모멘텀 n=45, threshold=0.04 |
10.5% | -27.0% | 0.54 | 0.39 | 2.2x | 96 | 43% |
| Donchian 채널 돌파 entryN=35, exitN=56 |
11.7% | -46.0% | 0.53 | 0.25 | 2.3x | 16 | 60% |
| ADX / DI 방향성 period=26, threshold=36 |
0.7% | -1.8% | 0.49 | 0.41 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=6, slow=99 |
9.7% | -33.8% | 0.49 | 0.29 | 2.1x | 26 | 52% |
| EMA 크로스오버 fast=29, slow=168 |
8.7% | -30.9% | 0.46 | 0.28 | 1.9x | 12 | 53% |
| MACD fast=20, slow=57, signal=19 |
3.7% | -68.5% | 0.27 | 0.05 | 1.3x | 61 | 50% |
| Buy and hold | -4.4% | -81.9% | 0.10 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots