Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Phoenix Mills Ltd. backtest
10 trend-following strategies were compared on the full daily history of Phoenix Mills Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.2%, MDD -46.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.6%, drawdown -91.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -49.0%, Sharpe 0.63, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 15.2%, MDD -46.7%, exposure 68%).
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=29, slow=146 |
15.7% | -49.0% | 0.63 | 0.32 | 16.5x | 35 | 61% |
| Supertrend period=14, mult=4.4 |
15.2% | -46.7% | 0.62 | 0.33 | 15.4x | 35 | 68% |
| Donchian 채널 돌파 entryN=10, exitN=65 |
14.8% | -69.9% | 0.57 | 0.21 | 14.2x | 39 | 87% |
| EMA 크로스오버 fast=53, slow=98 |
12.5% | -51.6% | 0.54 | 0.24 | 9.6x | 31 | 64% |
| ROC 모멘텀 n=87, threshold=-0.01 |
8.8% | -49.7% | 0.43 | 0.18 | 5.1x | 211 | 65% |
| ADX / DI 방향성 period=40, threshold=12 |
7.4% | -41.2% | 0.40 | 0.18 | 4.0x | 119 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.2% | -60.8% | 0.32 | 0.09 | 2.7x | 156 | 57% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=17, mult=2.1 |
4.1% | -53.3% | 0.29 | 0.08 | 2.2x | 71 | 42% |
| 볼린저 밴드 돌파 n=45, k=2 |
2.1% | -46.3% | 0.20 | 0.04 | 1.5x | 100 | 37% |
| MACD fast=13, slow=24, signal=15 |
-0.0% | -82.5% | 0.14 | -0.00 | 1.0x | 318 | 49% |
| Buy and hold | 13.6% | -91.0% | 0.52 | 0.15 | 11.6x | 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 29-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 29-day average falls below the 146-day average