Trend-Following Backtester · Guide · backtest 한국어
equity · DK
Pandora A/S backtest
10 trend-following strategies were compared on the full daily history of Pandora A/S. 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 17.8%, MDD -29.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.2%, drawdown -90.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 17.8%, MDD -29.0%, Sharpe 0.92, 28% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 24.1%, MDD -71.8%, exposure 70%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 61.5%p (CAGR 17.8%, MDD -29.0%, exposure 28%).
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=43, threshold=17 |
17.8% | -29.0% | 0.92 | 0.61 | 14.2x | 47 | 28% |
| EMA 크로스오버 fast=12, slow=218 |
20.0% | -58.5% | 0.85 | 0.34 | 19.4x | 21 | 53% |
| Supertrend period=17, mult=4.7 |
21.1% | -75.6% | 0.84 | 0.28 | 22.5x | 55 | 53% |
| Donchian 채널 돌파 entryN=24, exitN=51 |
24.1% | -71.8% | 0.84 | 0.34 | 33.1x | 43 | 70% |
| SMA 크로스오버 fast=17, slow=37 |
20.9% | -76.7% | 0.80 | 0.27 | 21.7x | 91 | 54% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
18.2% | -72.7% | 0.79 | 0.25 | 15.0x | 57 | 43% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=14, mult=2.1 |
16.9% | -73.1% | 0.77 | 0.23 | 12.5x | 69 | 42% |
| ROC 모멘텀 n=103, threshold=0.11 |
16.9% | -48.4% | 0.74 | 0.35 | 12.5x | 107 | 45% |
| Parabolic SAR step=0.01, maxStep=0.26 |
2.5% | -80.3% | 0.28 | 0.03 | 1.5x | 217 | 55% |
| MACD fast=6, slow=58, signal=8 |
2.3% | -78.0% | 0.23 | 0.03 | 1.4x | 360 | 50% |
| Buy and hold | 7.2% | -90.5% | 0.41 | 0.08 | 3.1x | 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, 43-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)