Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prenetics Global Limited backtest
10 trend-following strategies were compared on the full daily history of Prenetics Global Limited. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.0%, MDD -36.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.6%, drawdown -97.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.0%, MDD -37.6%, Sharpe 0.71, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 57.5%p higher than buy and hold, while drawdown improves by 60.0%p (CAGR 12.0%, MDD -36.7%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=131, threshold=0.04 |
27.0% | -37.6% | 0.71 | 0.72 | 3.3x | 23 | 32% |
| SMA 크로스오버 fast=14, slow=215 |
20.3% | -39.3% | 0.61 | 0.52 | 2.5x | 5 | 34% |
| EMA 크로스오버 fast=8, slow=186 |
18.4% | -37.6% | 0.58 | 0.49 | 2.3x | 5 | 29% |
| ADX / DI 방향성 period=11, threshold=35 |
12.0% | -36.7% | 0.49 | 0.33 | 1.8x | 30 | 17% |
| Donchian 채널 돌파 entryN=58, exitN=29 |
11.0% | -42.4% | 0.45 | 0.26 | 1.7x | 6 | 23% |
| 볼린저 밴드 돌파 n=69, k=2.1 |
8.1% | -38.2% | 0.39 | 0.21 | 1.5x | 14 | 23% |
| Supertrend period=13, mult=4.9 |
4.1% | -69.2% | 0.35 | 0.06 | 1.2x | 9 | 57% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=22, mult=2.8 |
6.3% | -37.3% | 0.35 | 0.17 | 1.4x | 10 | 8% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-8.9% | -80.0% | 0.07 | -0.11 | 0.6x | 78 | 42% |
| MACD fast=8, slow=53, signal=14 |
-15.2% | -82.3% | -0.00 | -0.19 | 0.4x | 72 | 48% |
| Buy and hold | -30.6% | -97.6% | -0.05 | -0.31 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 131-day return is greater than 4%
- Sell — Sell when the 131-day return drops to 4% or below