Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Ferrexpo plc backtest
10 trend-following strategies were compared on the full daily history of Ferrexpo plc. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.0%, MDD -22.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -27.9%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.6%, MDD -69.2%, Sharpe 0.70, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 51.5%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 3.0%, MDD -22.3%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=19, slow=137 |
23.6% | -69.2% | 0.70 | 0.34 | 58.4x | 34 | 48% |
| Donchian 채널 돌파 entryN=105, exitN=31 |
15.0% | -67.0% | 0.58 | 0.22 | 14.6x | 26 | 28% |
| 볼린저 밴드 돌파 n=30, k=1.6 |
15.0% | -66.8% | 0.55 | 0.22 | 14.6x | 138 | 32% |
| ROC 모멘텀 n=38, threshold=0.11 |
13.6% | -56.8% | 0.52 | 0.24 | 11.5x | 258 | 32% |
| EMA 크로스오버 fast=20, slow=55 |
13.8% | -67.1% | 0.51 | 0.21 | 11.9x | 72 | 48% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=23, mult=2.1 |
11.0% | -59.8% | 0.49 | 0.18 | 7.4x | 90 | 15% |
| Supertrend period=28, mult=4.6 |
-7.0% | -99.6% | 0.42 | -0.07 | 0.2x | 50 | 44% |
| Parabolic SAR step=0.02, maxStep=0.14 |
8.9% | -89.7% | 0.41 | 0.10 | 5.2x | 380 | 48% |
| ADX / DI 방향성 period=38, threshold=34 |
3.0% | -22.3% | 0.37 | 0.13 | 1.8x | 2 | 1% |
| MACD fast=7, slow=45, signal=12 |
-19.7% | -99.7% | 0.16 | -0.20 | 0.0x | 339 | 52% |
| Buy and hold | -27.9% | -99.9% | 0.23 | -0.28 | 0.0x | 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 19-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 19-day average falls below the 137-day average