Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Mesoblast Limited backtest
10 trend-following strategies were compared on the full daily history of Mesoblast Limited. 8 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 14.0%, MDD -64.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.7%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.0%, MDD -64.0%, Sharpe 0.51, 19% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 33.3%p (CAGR 14.0%, MDD -64.0%, exposure 19%).
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=36, threshold=20 |
14.0% | -64.0% | 0.51 | 0.22 | 17.1x | 46 | 19% |
| Parabolic SAR step=0.01, maxStep=0.14 |
13.5% | -92.3% | 0.49 | 0.15 | 15.4x | 228 | 47% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
13.1% | -86.5% | 0.49 | 0.15 | 14.4x | 86 | 30% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=1.7 |
10.1% | -80.4% | 0.42 | 0.13 | 8.0x | 168 | 24% |
| Supertrend period=12, mult=2.9 |
9.7% | -80.1% | 0.42 | 0.12 | 7.5x | 168 | 42% |
| ROC 모멘텀 n=113, threshold=0.14 |
9.7% | -83.1% | 0.42 | 0.12 | 7.4x | 150 | 34% |
| MACD fast=14, slow=55, signal=11 |
8.5% | -87.9% | 0.41 | 0.10 | 5.8x | 294 | 51% |
| Donchian 채널 돌파 entryN=75, exitN=42 |
8.0% | -93.5% | 0.40 | 0.09 | 5.3x | 43 | 40% |
| SMA 크로스오버 fast=33, slow=167 |
5.0% | -94.4% | 0.35 | 0.05 | 2.9x | 36 | 45% |
| EMA 크로스오버 fast=7, slow=62 |
3.8% | -96.7% | 0.31 | 0.04 | 2.3x | 156 | 46% |
| Buy and hold | 6.7% | -97.2% | 0.44 | 0.07 | 4.1x | 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, 36-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)