Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Megaport Ltd. backtest
10 trend-following strategies were compared on the full daily history of Megaport Ltd.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.9%, MDD -47.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.1%, drawdown -81.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 25.6%, MDD -55.2%, Sharpe 0.78, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 26.0%, MDD -49.7%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 22.9%, MDD -47.4%, exposure 55%).
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=32, threshold=11 |
25.6% | -55.2% | 0.78 | 0.46 | 11.4x | 77 | 50% |
| Donchian 채널 돌파 entryN=29, exitN=48 |
26.0% | -49.7% | 0.76 | 0.52 | 11.9x | 29 | 61% |
| SMA 크로스오버 fast=32, slow=63 |
22.9% | -47.4% | 0.72 | 0.48 | 9.1x | 40 | 55% |
| EMA 크로스오버 fast=43, slow=70 |
21.5% | -49.5% | 0.71 | 0.44 | 8.1x | 19 | 56% |
| Supertrend period=9, mult=4.1 |
22.3% | -59.2% | 0.68 | 0.38 | 8.6x | 44 | 57% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=2.1 |
17.4% | -46.5% | 0.67 | 0.37 | 5.6x | 58 | 36% |
| ROC 모멘텀 n=97, threshold=0 |
16.9% | -59.9% | 0.59 | 0.28 | 5.3x | 91 | 59% |
| 볼린저 밴드 돌파 n=30, k=3.1 |
9.2% | -21.9% | 0.59 | 0.42 | 2.6x | 16 | 12% |
| Parabolic SAR step=0.03, maxStep=0.26 |
12.7% | -78.5% | 0.49 | 0.16 | 3.6x | 262 | 50% |
| MACD fast=14, slow=51, signal=9 |
10.1% | -56.6% | 0.43 | 0.18 | 2.8x | 162 | 48% |
| Buy and hold | 22.1% | -81.9% | 0.63 | 0.27 | 8.4x | 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, 32-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)