Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Tribal Group plc backtest
10 trend-following strategies were compared on the full daily history of Tribal Group plc. 8 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 1.4%, MDD -9.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.0%, drawdown -94.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -9.5%, Sharpe 0.35, 2% exposure.
CAGR reference leader: MACD — CAGR 10.7%, MDD -86.5%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 84.9%p (CAGR 1.4%, MDD -9.5%, exposure 2%).
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=54, threshold=35 |
1.4% | -9.5% | 0.35 | 0.15 | 1.4x | 6 | 2% |
| ROC 모멘텀 n=108, threshold=0.22 |
4.4% | -49.7% | 0.33 | 0.09 | 3.0x | 93 | 19% |
| SMA 크로스오버 fast=10, slow=36 |
4.7% | -59.8% | 0.30 | 0.08 | 3.3x | 201 | 47% |
| MACD fast=31, slow=35, signal=14 |
10.7% | -86.5% | 0.29 | 0.12 | 13.4x | 247 | 49% |
| Parabolic SAR step=0.02, maxStep=0.18 |
4.9% | -95.5% | 0.23 | 0.05 | 3.4x | 429 | 51% |
| Donchian 채널 돌파 entryN=14, exitN=31 |
2.6% | -96.1% | 0.22 | 0.03 | 1.9x | 113 | 64% |
| Supertrend period=2, mult=4.1 |
2.3% | -96.2% | 0.22 | 0.02 | 1.8x | 133 | 57% |
| EMA 크로스오버 fast=15, slow=34 |
0.8% | -79.2% | 0.16 | 0.01 | 1.2x | 153 | 52% |
| 볼린저 밴드 돌파 n=46, k=3 |
-4.5% | -94.3% | 0.07 | -0.05 | 0.3x | 57 | 22% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=20, mult=1.2 |
-8.1% | -97.1% | -0.04 | -0.08 | 0.1x | 187 | 37% |
| Buy and hold | -2.0% | -94.4% | 0.25 | -0.02 | 0.6x | 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, 54-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)