Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Budweiser Brewing Co. APAC Ltd. backtest
10 trend-following strategies were compared on the full daily history of Budweiser Brewing Co. APAC Ltd.. 10 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 0.4%, MDD -0.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.2%, drawdown -81.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -0.5%, Sharpe 0.32, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 80.7%p (CAGR 0.4%, MDD -0.5%, exposure 0%).
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=65, threshold=21 |
0.4% | -0.5% | 0.32 | 0.70 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
0.3% | -13.8% | 0.08 | 0.02 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=17, mult=2.7 |
-0.0% | -18.3% | 0.05 | -0.00 | 1.0x | 6 | 3% |
| SMA 크로스오버 fast=43, slow=87 |
-4.7% | -43.3% | -0.16 | -0.11 | 0.7x | 16 | 30% |
| Donchian 채널 돌파 entryN=66, exitN=6 |
-4.3% | -28.6% | -0.32 | -0.15 | 0.7x | 16 | 8% |
| ROC 모멘텀 n=135, threshold=-0.01 |
-9.9% | -57.9% | -0.39 | -0.17 | 0.5x | 62 | 33% |
| Supertrend period=25, mult=5 |
-11.6% | -57.1% | -0.47 | -0.20 | 0.4x | 18 | 31% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-13.5% | -66.7% | -0.48 | -0.20 | 0.4x | 59 | 38% |
| EMA 크로스오버 fast=44, slow=94 |
-11.9% | -64.2% | -0.58 | -0.19 | 0.4x | 16 | 29% |
| MACD fast=16, slow=31, signal=17 |
-17.5% | -75.0% | -0.61 | -0.23 | 0.3x | 93 | 47% |
| Buy and hold | -19.2% | -81.2% | -0.42 | -0.24 | 0.2x | 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, 65-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)