Trend-Following Backtester · Guide · backtest 한국어
equity · SG
City Developments Limited backtest
10 trend-following strategies were compared on the full daily history of City Developments Limited. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.7%, MDD -35.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.2%, drawdown -77.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -37.7%, Sharpe 0.47, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 3.7%, MDD -35.2%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=146 |
7.8% | -37.7% | 0.47 | 0.21 | 7.4x | 58 | 49% |
| EMA 크로스오버 fast=31, slow=94 |
7.2% | -36.3% | 0.44 | 0.20 | 6.3x | 50 | 49% |
| Donchian 채널 돌파 entryN=72, exitN=41 |
6.2% | -36.7% | 0.42 | 0.17 | 5.0x | 48 | 40% |
| ADX / DI 방향성 period=41, threshold=14 |
3.7% | -35.2% | 0.30 | 0.10 | 2.6x | 108 | 25% |
| ROC 모멘텀 n=120, threshold=-0.01 |
3.1% | -57.4% | 0.25 | 0.05 | 2.3x | 218 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=1.9 |
2.6% | -62.4% | 0.23 | 0.04 | 2.0x | 132 | 36% |
| 볼린저 밴드 돌파 n=40, k=2 |
1.8% | -54.5% | 0.19 | 0.03 | 1.6x | 120 | 27% |
| Supertrend period=11, mult=2.6 |
-0.6% | -76.9% | 0.08 | -0.01 | 0.9x | 246 | 52% |
| MACD fast=19, slow=35, signal=19 |
-1.4% | -79.9% | 0.05 | -0.02 | 0.7x | 298 | 48% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-1.7% | -78.7% | 0.03 | -0.02 | 0.6x | 327 | 49% |
| Buy and hold | 0.2% | -77.3% | 0.17 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 13-day average falls below the 146-day average