Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Port of Tauranga Limited backtest
10 trend-following strategies were compared on the full daily history of Port of Tauranga Limited. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -91.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -21.2%, Sharpe 0.36, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -91.8%, exposure 89%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=67, threshold=19 |
2.3% | -21.2% | 0.36 | 0.11 | 1.8x | 16 | 14% |
| Donchian 채널 돌파 entryN=18, exitN=101 |
6.6% | -91.8% | 0.33 | 0.07 | 5.4x | 45 | 89% |
| ROC 모멘텀 Hold-like · Exposure 97% n=53, threshold=-0.15 |
5.3% | -91.6% | 0.33 | 0.06 | 3.9x | 53 | 97% |
| EMA 크로스오버 fast=63, slow=221 |
6.2% | -93.3% | 0.33 | 0.07 | 5.0x | 29 | 73% |
| SMA 크로스오버 fast=53, slow=218 |
5.9% | -91.8% | 0.33 | 0.06 | 4.6x | 33 | 68% |
| MACD fast=13, slow=23, signal=11 |
-17.7% | -99.5% | 0.19 | -0.18 | 0.0x | 524 | 49% |
| 볼린저 밴드 돌파 n=73, k=2.9 |
-21.8% | -99.9% | -0.27 | -0.22 | 0.0x | 48 | 24% |
| Supertrend period=13, mult=5 |
-24.4% | -100.0% | -0.28 | -0.24 | 0.0x | 117 | 63% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=3.1 |
-22.9% | -99.9% | -0.29 | -0.23 | 0.0x | 104 | 36% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-25.0% | -100.0% | -0.33 | -0.25 | 0.0x | 186 | 51% |
| Buy and hold | 9.2% | -91.5% | 0.34 | 0.10 | 10.3x | 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, 67-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)