Trend-Following Backtester · Guide · backtest 한국어
equity · SG
DFI Retail Group Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of DFI Retail Group Holdings Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.1%, MDD -49.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.6%, drawdown -87.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -59.2%, Sharpe 0.49, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 9.1%, MDD -49.5%, exposure 56%).
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=58, slow=195 |
9.5% | -59.2% | 0.49 | 0.16 | 11.1x | 34 | 59% |
| Donchian 채널 돌파 entryN=98, exitN=75 |
9.1% | -49.5% | 0.48 | 0.18 | 10.2x | 28 | 56% |
| EMA 크로스오버 fast=54, slow=193 |
9.0% | -59.4% | 0.48 | 0.15 | 9.8x | 24 | 57% |
| ROC 모멘텀 n=135, threshold=0 |
6.8% | -60.6% | 0.39 | 0.11 | 5.8x | 142 | 56% |
| Supertrend period=9, mult=2.4 |
4.1% | -61.6% | 0.28 | 0.07 | 2.9x | 265 | 52% |
| 볼린저 밴드 돌파 n=53, k=2.2 |
3.3% | -47.3% | 0.26 | 0.07 | 2.4x | 102 | 31% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=2.5 |
2.7% | -42.8% | 0.24 | 0.06 | 2.1x | 126 | 27% |
| ADX / DI 방향성 period=37, threshold=11 |
2.4% | -66.5% | 0.22 | 0.04 | 1.9x | 230 | 44% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.3% | -79.9% | 0.11 | -0.00 | 0.9x | 316 | 50% |
| MACD fast=24, slow=31, signal=14 |
-2.1% | -82.8% | 0.02 | -0.03 | 0.6x | 319 | 50% |
| Buy and hold | 4.6% | -87.4% | 0.30 | 0.05 | 3.3x | 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 58-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 58-day average falls below the 195-day average