Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Picton Property Income Limited backtest
10 trend-following strategies were compared on the full daily history of Picton Property Income Limited. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.7%, MDD -13.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.5%, drawdown -89.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -18.8%, Sharpe 0.51, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.1%, MDD -20.5%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 70.5%p (CAGR 2.7%, MDD -13.4%, exposure 7%).
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=58, k=3.3 |
5.1% | -18.8% | 0.51 | 0.27 | 2.8x | 10 | 12% |
| Donchian 채널 돌파 entryN=73, exitN=43 |
6.1% | -20.5% | 0.47 | 0.30 | 3.5x | 38 | 45% |
| ADX / DI 방향성 period=31, threshold=29 |
2.7% | -13.4% | 0.45 | 0.20 | 1.7x | 16 | 7% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=2.3 |
4.4% | -30.6% | 0.38 | 0.14 | 2.4x | 58 | 31% |
| SMA 크로스오버 fast=56, slow=134 |
5.2% | -55.0% | 0.36 | 0.09 | 2.8x | 36 | 50% |
| ROC 모멘텀 n=63, threshold=0.23 |
3.0% | -18.8% | 0.35 | 0.16 | 1.9x | 34 | 4% |
| EMA 크로스오버 fast=15, slow=93 |
3.8% | -36.5% | 0.31 | 0.10 | 2.2x | 62 | 53% |
| Supertrend period=27, mult=5 |
2.0% | -55.0% | 0.20 | 0.04 | 1.5x | 44 | 60% |
| MACD fast=18, slow=40, signal=18 |
-6.8% | -82.0% | -0.21 | -0.08 | 0.2x | 255 | 50% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-8.7% | -87.9% | -0.33 | -0.10 | 0.2x | 373 | 53% |
| Buy and hold | -1.5% | -89.2% | 0.12 | -0.02 | 0.7x | 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 58-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 58-day middle average