Trend-Following Backtester · Guide · backtest 한국어
equity · PL
ASBISc Enterprises Plc backtest
10 trend-following strategies were compared on the full daily history of ASBISc Enterprises Plc. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.1%, MDD -35.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.8%, drawdown -93.7%).
Sharpe leader (same as main): Supertrend — CAGR 45.7%, MDD -47.9%, Sharpe 1.11, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 29.9%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 26.1%, MDD -35.2%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.5 |
45.7% | -47.9% | 1.11 | 0.95 | 1155.8x | 49 | 59% |
| Donchian 채널 돌파 entryN=110, exitN=56 |
37.0% | -47.6% | 1.10 | 0.78 | 364.6x | 19 | 48% |
| SMA 크로스오버 fast=39, slow=186 |
39.8% | -57.3% | 1.09 | 0.69 | 536.2x | 21 | 52% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=10, mult=1.9 |
35.1% | -38.7% | 1.06 | 0.91 | 283.0x | 96 | 34% |
| EMA 크로스오버 fast=24, slow=76 |
37.0% | -52.7% | 1.01 | 0.70 | 367.3x | 43 | 54% |
| ADX / DI 방향성 period=24, threshold=13 |
35.1% | -39.3% | 1.00 | 0.89 | 279.9x | 165 | 40% |
| ROC 모멘텀 n=139, threshold=0.05 |
32.1% | -57.9% | 0.96 | 0.55 | 185.5x | 89 | 50% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
26.1% | -35.2% | 0.90 | 0.74 | 76.9x | 59 | 31% |
| Parabolic SAR step=0.005, maxStep=0.2 |
25.6% | -53.5% | 0.77 | 0.48 | 71.7x | 134 | 48% |
| MACD fast=9, slow=73, signal=24 |
13.4% | -79.5% | 0.50 | 0.17 | 10.6x | 220 | 51% |
| Buy and hold | 15.8% | -93.7% | 0.54 | 0.17 | 15.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)