Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Foresight Group Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Foresight Group Holdings Ltd.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -3.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.1%, drawdown -42.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -3.0%, Sharpe 0.36, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.3%, MDD -29.7%, exposure 80%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 1.0%, MDD -3.0%, exposure 3%).
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=31, threshold=30 |
1.0% | -3.0% | 0.36 | 0.33 | 1.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=9, exitN=74 |
5.3% | -29.7% | 0.32 | 0.18 | 1.3x | 19 | 80% |
| SMA 크로스오버 fast=31, slow=50 |
3.7% | -22.1% | 0.27 | 0.17 | 1.2x | 31 | 55% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
1.4% | -9.6% | 0.25 | 0.15 | 1.1x | 2 | 1% |
| Supertrend period=28, mult=3.9 |
0.9% | -43.6% | 0.17 | 0.02 | 1.0x | 13 | 66% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=17, mult=2.6 |
0.7% | -10.9% | 0.14 | 0.07 | 1.0x | 4 | 4% |
| EMA 크로스오버 fast=30, slow=40 |
-1.9% | -39.8% | 0.04 | -0.05 | 0.9x | 19 | 52% |
| MACD fast=19, slow=68, signal=18 |
-6.2% | -49.3% | -0.13 | -0.13 | 0.7x | 59 | 47% |
| ROC 모멘텀 n=70, threshold=-0.01 |
-7.1% | -48.8% | -0.17 | -0.14 | 0.7x | 65 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-10.1% | -55.4% | -0.28 | -0.18 | 0.6x | 83 | 50% |
| Buy and hold | 0.1% | -42.9% | 0.19 | 0.00 | 1.0x | 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, 31-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)