Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Pinnacle Investment Management Group Limited backtest
10 trend-following strategies were compared on the full daily history of Pinnacle Investment Management Group Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.8%, MDD -37.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.4%, drawdown -96.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 26.7%, MDD -47.2%, Sharpe 0.93, 42% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 29.8%, MDD -63.8%, exposure 66%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 49.6%p (CAGR 18.8%, MDD -37.2%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=65, k=1.3 |
26.7% | -47.2% | 0.93 | 0.57 | 92.1x | 62 | 42% |
| SMA 크로스오버 fast=11, slow=89 |
28.1% | -51.0% | 0.92 | 0.55 | 113.5x | 49 | 52% |
| Donchian 채널 돌파 entryN=29, exitN=55 |
29.8% | -63.8% | 0.90 | 0.47 | 147.1x | 45 | 66% |
| EMA 크로스오버 fast=26, slow=44 |
25.0% | -54.4% | 0.84 | 0.46 | 71.4x | 63 | 53% |
| ADX / DI 방향성 period=29, threshold=24 |
18.8% | -37.2% | 0.83 | 0.51 | 26.9x | 52 | 29% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=28, mult=2.4 |
22.0% | -48.7% | 0.83 | 0.45 | 44.8x | 68 | 41% |
| ROC 모멘텀 n=69, threshold=-0.01 |
24.0% | -59.1% | 0.81 | 0.41 | 60.6x | 130 | 53% |
| Supertrend period=14, mult=4.5 |
22.9% | -69.0% | 0.78 | 0.33 | 51.5x | 92 | 53% |
| Parabolic SAR step=0.015, maxStep=0.12 |
17.6% | -72.5% | 0.65 | 0.24 | 22.3x | 254 | 50% |
| MACD fast=12, slow=51, signal=19 |
11.2% | -84.3% | 0.48 | 0.13 | 7.6x | 220 | 50% |
| Buy and hold | 8.4% | -96.7% | 0.41 | 0.09 | 4.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 65-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 65-day middle average