Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Pinewood Technologies Group PLC backtest
10 trend-following strategies were compared on the full daily history of Pinewood Technologies Group PLC. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 23.7%, MDD -71.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.0%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.6%, MDD -81.9%, Sharpe 0.60, 47% exposure.
CAGR reference leader: Supertrend — CAGR 28.2%, MDD -88.6%, exposure 52%.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 23.7%, MDD -71.4%, exposure 51%).
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=27, threshold=14 |
15.6% | -81.9% | 0.60 | 0.19 | 206.0x | 295 | 47% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=27, mult=3.4 |
11.6% | -58.2% | 0.58 | 0.20 | 56.3x | 109 | 29% |
| 볼린저 밴드 돌파 n=37, k=1.7 |
13.5% | -90.5% | 0.56 | 0.15 | 105.6x | 203 | 39% |
| Donchian 채널 돌파 entryN=36, exitN=55 |
12.9% | -91.5% | 0.51 | 0.14 | 84.8x | 93 | 61% |
| MACD fast=17, slow=45, signal=9 |
12.0% | -87.1% | 0.48 | 0.14 | 63.5x | 465 | 49% |
| EMA 크로스오버 fast=7, slow=77 |
10.8% | -93.7% | 0.48 | 0.12 | 43.0x | 185 | 55% |
| ROC 모멘텀 n=56, threshold=-0.03 |
9.6% | -94.4% | 0.44 | 0.10 | 29.0x | 379 | 61% |
| SMA 크로스오버 fast=16, slow=62 |
9.3% | -95.0% | 0.43 | 0.10 | 26.0x | 159 | 52% |
| Supertrend period=13, mult=4.7 |
28.2% | -88.6% | 0.24 | 0.32 | 9143.1x | 157 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
23.7% | -71.4% | 0.23 | 0.33 | 2465.0x | 457 | 51% |
| Buy and hold | 13.0% | -98.9% | 0.22 | 0.13 | 87.7x | 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, 27-day) is ≥ 14
- Sell — Sell when direction flips or the trend weakens (ADX < 14)