Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Frasers Centrepoint Trust backtest
10 trend-following strategies were compared on the full daily history of Frasers Centrepoint Trust. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.1%, MDD -15.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.0%, drawdown -67.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -15.0%, Sharpe 0.39, 5% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.3%, MDD -45.4%, exposure 93%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 52.5%p (CAGR 2.1%, MDD -15.0%, exposure 5%).
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=27, threshold=27 |
2.1% | -15.0% | 0.39 | 0.14 | 1.5x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=29, mult=3.8 |
2.4% | -28.0% | 0.34 | 0.09 | 1.6x | 22 | 15% |
| ROC 모멘텀 n=93, threshold=-0.15 |
4.3% | -45.4% | 0.32 | 0.10 | 2.2x | 23 | 93% |
| Supertrend period=11, mult=4.1 |
2.8% | -32.5% | 0.27 | 0.09 | 1.7x | 50 | 53% |
| Donchian 채널 돌파 entryN=40, exitN=74 |
1.8% | -56.8% | 0.19 | 0.03 | 1.4x | 40 | 69% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
0.8% | -13.4% | 0.16 | 0.06 | 1.2x | 18 | 9% |
| SMA 크로스오버 fast=40, slow=103 |
1.3% | -54.0% | 0.16 | 0.02 | 1.3x | 50 | 55% |
| EMA 크로스오버 fast=51, slow=105 |
0.6% | -59.6% | 0.11 | 0.01 | 1.1x | 40 | 57% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-2.4% | -64.2% | -0.09 | -0.04 | 0.6x | 216 | 53% |
| MACD fast=18, slow=23, signal=22 |
-3.2% | -61.3% | -0.13 | -0.05 | 0.5x | 242 | 51% |
| Buy and hold | 2.0% | -67.5% | 0.20 | 0.03 | 1.5x | 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, 27-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)