Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Precinct Properties NZ Ltd & Precinct Properties Investments Ltd backtest
10 trend-following strategies were compared on the full daily history of Precinct Properties NZ Ltd & Precinct Properties Investments Ltd. 7 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 0.2%, MDD -1.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.5%, drawdown -52.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -1.7%, Sharpe 0.21, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 1.2%, MDD -36.5%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 50.8%p (CAGR 0.2%, MDD -1.7%, exposure 1%).
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=37, threshold=40 |
0.2% | -1.7% | 0.21 | 0.13 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=58, slow=85 |
1.2% | -36.5% | 0.16 | 0.03 | 1.2x | 32 | 53% |
| SMA 크로스오버 fast=23, slow=151 |
0.8% | -39.5% | 0.13 | 0.02 | 1.2x | 40 | 53% |
| ROC 모멘텀 Hold-like · Exposure 100% n=7, threshold=-0.1 |
-0.1% | -50.1% | 0.09 | -0.00 | 1.0x | 11 | 100% |
| Supertrend period=9, mult=4.3 |
0.0% | -34.2% | 0.07 | 0.00 | 1.0x | 46 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=4 |
-0.0% | -27.2% | 0.03 | -0.00 | 1.0x | 32 | 20% |
| Donchian 채널 돌파 entryN=111, exitN=26 |
-0.3% | -22.8% | 0.01 | -0.01 | 1.0x | 42 | 27% |
| MACD fast=30, slow=73, signal=30 |
-1.5% | -36.8% | -0.04 | -0.04 | 0.8x | 112 | 52% |
| 볼린저 밴드 돌파 n=55, k=2.6 |
-0.8% | -31.5% | -0.05 | -0.03 | 0.9x | 52 | 26% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.9% | -45.9% | -0.16 | -0.06 | 0.6x | 118 | 51% |
| Buy and hold | -0.5% | -52.6% | 0.07 | -0.01 | 0.9x | 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, 37-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)