Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Granges AB backtest
10 trend-following strategies were compared on the full daily history of Granges AB. 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 13.9%, drawdown -63.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -7.0%, Sharpe 0.72, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.8%, MDD -55.7%, exposure 77%.
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=24, threshold=41 |
3.5% | -7.0% | 0.72 | 0.50 | 1.5x | 2 | 2% |
| Donchian 채널 돌파 entryN=11, exitN=39 |
11.8% | -55.7% | 0.52 | 0.21 | 3.8x | 57 | 77% |
| SMA 크로스오버 fast=58, slow=218 |
8.1% | -42.5% | 0.43 | 0.19 | 2.6x | 13 | 62% |
| ROC 모멘텀 n=5, threshold=-0.07 |
9.0% | -65.2% | 0.42 | 0.14 | 2.8x | 161 | 94% |
| Supertrend period=14, mult=3.2 |
4.8% | -53.5% | 0.31 | 0.09 | 1.8x | 73 | 59% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=28, mult=4 |
1.2% | -9.0% | 0.27 | 0.13 | 1.1x | 6 | 2% |
| MACD fast=8, slow=40, signal=16 |
2.1% | -61.4% | 0.21 | 0.03 | 1.3x | 201 | 48% |
| EMA 크로스오버 fast=14, slow=31 |
0.8% | -63.8% | 0.16 | 0.01 | 1.1x | 87 | 58% |
| 볼린저 밴드 돌파 n=12, k=2.3 |
1.2% | -39.3% | 0.16 | 0.03 | 1.2x | 84 | 16% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-2.7% | -65.5% | 0.01 | -0.04 | 0.7x | 231 | 53% |
| Buy and hold | 13.9% | -63.1% | 0.54 | 0.22 | 4.8x | 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, 24-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)