Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Summerset Group Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Summerset Group Holdings Limited. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.0%, MDD -19.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.8%, drawdown -59.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.2%, MDD -16.9%, Sharpe 1.06, 23% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 17.0%, MDD -19.5%, exposure 62%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 43.0%p (CAGR 17.0%, MDD -19.5%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=3.1 |
11.2% | -16.9% | 1.06 | 0.66 | 4.8x | 24 | 23% |
| EMA 크로스오버 fast=6, slow=53 |
17.0% | -19.5% | 1.02 | 0.87 | 10.2x | 73 | 62% |
| Supertrend period=28, mult=3.7 |
16.9% | -26.6% | 1.01 | 0.64 | 10.2x | 64 | 60% |
| Parabolic SAR step=0.015, maxStep=0.02 |
16.5% | -27.0% | 1.01 | 0.61 | 9.6x | 65 | 60% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=2.4 |
13.7% | -24.5% | 0.97 | 0.56 | 6.7x | 60 | 48% |
| ADX / DI 방향성 period=44, threshold=9 |
15.1% | -23.9% | 0.96 | 0.63 | 8.0x | 98 | 58% |
| ROC 모멘텀 n=40, threshold=-0.03 |
16.5% | -33.4% | 0.94 | 0.49 | 9.6x | 142 | 70% |
| Donchian 채널 돌파 entryN=21, exitN=50 |
16.4% | -31.0% | 0.91 | 0.53 | 9.5x | 43 | 73% |
| SMA 크로스오버 fast=10, slow=70 |
14.8% | -28.8% | 0.89 | 0.51 | 7.7x | 52 | 62% |
| MACD fast=19, slow=53, signal=27 |
10.8% | -28.9% | 0.73 | 0.37 | 4.6x | 111 | 48% |
| Buy and hold | 12.8% | -59.9% | 0.61 | 0.21 | 6.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 39-day middle average