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 23.6%, MDD -47.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 23.3%, drawdown -81.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 26.9%, MDD -55.2%, Sharpe 0.81, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 27.4%, MDD -49.7%, exposure 61%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 23.6%, MDD -47.4%, exposure 54%).
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 |
26.9% | -55.2% | 0.81 | 0.49 | 12.6x | 76 | 50% |
| Donchian 채널 돌파 entryN=29, exitN=48 |
27.4% | -49.7% | 0.79 | 0.55 | 13.0x | 29 | 61% |
| Supertrend period=9, mult=4.1 |
25.4% | -59.2% | 0.74 | 0.43 | 11.0x | 42 | 57% |
| SMA 크로스오버 fast=32, slow=63 |
23.6% | -47.4% | 0.74 | 0.50 | 9.5x | 39 | 54% |
| EMA 크로스오버 fast=43, slow=70 |
22.8% | -49.5% | 0.74 | 0.46 | 8.8x | 19 | 55% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=2.1 |
19.5% | -46.5% | 0.73 | 0.42 | 6.6x | 56 | 36% |
| ROC 모멘텀 n=97, threshold=0 |
18.0% | -59.9% | 0.62 | 0.30 | 5.8x | 91 | 58% |
| 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 |
12.2% | -78.5% | 0.48 | 0.16 | 3.4x | 260 | 50% |
| MACD fast=14, slow=51, signal=9 |
11.1% | -56.6% | 0.46 | 0.20 | 3.1x | 160 | 48% |
| Buy and hold | 23.3% | -81.9% | 0.64 | 0.28 | 9.2x | 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)