Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Conduit Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Conduit Holdings Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -8.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.0%, drawdown -50.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -18.8%, Sharpe 0.72, 41% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 2.3%, MDD -8.7%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=129 |
10.6% | -18.8% | 0.72 | 0.56 | 1.8x | 9 | 41% |
| Donchian 채널 돌파 entryN=59, exitN=39 |
7.6% | -17.4% | 0.60 | 0.44 | 1.5x | 5 | 34% |
| ADX / DI 방향성 period=32, threshold=36 |
2.3% | -8.7% | 0.50 | 0.27 | 1.1x | 2 | 4% |
| ROC 모멘텀 n=97, threshold=0.09 |
5.0% | -14.0% | 0.46 | 0.35 | 1.3x | 20 | 25% |
| 볼린저 밴드 돌파 n=72, k=1.9 |
4.4% | -14.2% | 0.43 | 0.31 | 1.3x | 10 | 24% |
| EMA 크로스오버 fast=40, slow=206 |
5.3% | -22.2% | 0.41 | 0.24 | 1.3x | 5 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=3.9 |
3.7% | -17.6% | 0.41 | 0.21 | 1.2x | 6 | 17% |
| Supertrend period=28, mult=5 |
-0.1% | -44.6% | 0.10 | -0.00 | 1.0x | 11 | 58% |
| Parabolic SAR step=0.04, maxStep=0.32 |
-4.7% | -51.0% | -0.18 | -0.09 | 0.8x | 189 | 47% |
| MACD fast=6, slow=36, signal=7 |
-9.8% | -58.4% | -0.48 | -0.17 | 0.6x | 153 | 51% |
| Buy and hold | -3.0% | -50.3% | 0.02 | -0.06 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 37-day average falls below the 129-day average