Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Goodman New Zealand Limited & Goodman Property Services Limited Units backtest
10 trend-following strategies were compared on the full daily history of Goodman New Zealand Limited & Goodman Property Services Limited Units. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.6%, MDD -26.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.7%, drawdown -50.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -3.6%, Sharpe 0.32, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.6%, MDD -26.6%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 47.1%p (CAGR 2.6%, MDD -26.6%, exposure 54%).
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=32, threshold=41 |
0.5% | -3.6% | 0.32 | 0.15 | 1.1x | 2 | 1% |
| SMA 크로스오버 fast=23, slow=151 |
2.6% | -26.6% | 0.27 | 0.10 | 1.7x | 33 | 54% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
0.7% | -11.9% | 0.25 | 0.06 | 1.1x | 8 | 3% |
| EMA 크로스오버 fast=53, slow=165 |
2.0% | -29.0% | 0.21 | 0.07 | 1.5x | 25 | 57% |
| ROC 모멘텀 n=127, threshold=0.22 |
0.3% | -8.6% | 0.13 | 0.04 | 1.1x | 12 | 3% |
| Donchian 채널 돌파 entryN=76, exitN=78 |
-0.5% | -38.0% | 0.05 | -0.01 | 0.9x | 31 | 58% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=8, mult=3.9 |
0.0% | -24.1% | 0.04 | 0.00 | 1.0x | 34 | 23% |
| MACD fast=19, slow=53, signal=18 |
-4.6% | -61.8% | -0.15 | -0.08 | 0.4x | 200 | 54% |
| Supertrend period=26, mult=3.5 |
-5.5% | -85.5% | -0.23 | -0.06 | 0.3x | 91 | 60% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-6.4% | -81.4% | -0.31 | -0.08 | 0.3x | 137 | 57% |
| Buy and hold | 1.7% | -50.6% | 0.19 | 0.03 | 1.4x | 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, 32-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)