Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Capri Global Capital Limited backtest
10 trend-following strategies were compared on the full daily history of Capri Global Capital Limited. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.8%, MDD -34.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.8%, drawdown -93.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.2%, MDD -49.5%, Sharpe 0.77, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 43.6%p (CAGR 7.8%, MDD -34.4%, exposure 12%).
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=54, slow=61 |
24.2% | -49.5% | 0.77 | 0.49 | 30.5x | 119 | 54% |
| Donchian 채널 돌파 entryN=47, exitN=54 |
22.5% | -50.1% | 0.72 | 0.45 | 24.4x | 23 | 60% |
| EMA 크로스오버 fast=45, slow=49 |
16.0% | -68.2% | 0.59 | 0.23 | 10.3x | 33 | 57% |
| ROC 모멘텀 n=116, threshold=0.06 |
13.4% | -49.4% | 0.54 | 0.27 | 7.3x | 117 | 51% |
| ADX / DI 방향성 period=26, threshold=31 |
7.8% | -34.4% | 0.53 | 0.23 | 3.3x | 19 | 12% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=1.7 |
12.0% | -67.5% | 0.52 | 0.18 | 6.0x | 74 | 34% |
| 볼린저 밴드 돌파 n=56, k=2.1 |
9.6% | -56.5% | 0.46 | 0.17 | 4.2x | 57 | 34% |
| Supertrend period=7, mult=3.3 |
6.8% | -72.2% | 0.36 | 0.09 | 2.8x | 78 | 62% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.6% | -86.4% | 0.30 | 0.02 | 1.3x | 116 | 51% |
| MACD fast=10, slow=20, signal=6 |
-3.7% | -86.1% | 0.08 | -0.04 | 0.5x | 396 | 49% |
| Buy and hold | 3.8% | -93.2% | 0.38 | 0.04 | 1.8x | 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 54-day average price crosses above the 61-day average
- Sell — Sell (to cash) when the 54-day average falls below the 61-day average