Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ASOS Plc backtest
10 trend-following strategies were compared on the full daily history of ASOS Plc. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 30.4%, MDD -54.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.2%, drawdown -97.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 30.4%, MDD -54.1%, Sharpe 0.94, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 32.9%, MDD -60.9%, exposure 57%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 18.1%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 30.4%, MDD -54.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=8, slow=199 |
30.4% | -54.1% | 0.94 | 0.56 | 735.2x | 49 | 55% |
| SMA 크로스오버 fast=13, slow=70 |
32.9% | -60.9% | 0.93 | 0.54 | 1195.7x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=99, atrPeriod=28, mult=3.2 |
24.4% | -58.1% | 0.87 | 0.42 | 230.3x | 51 | 40% |
| ROC 모멘텀 n=61, threshold=0.07 |
27.4% | -64.0% | 0.86 | 0.43 | 413.9x | 233 | 46% |
| Donchian 채널 돌파 entryN=34, exitN=28 |
25.9% | -67.6% | 0.79 | 0.38 | 311.9x | 75 | 53% |
| 볼린저 밴드 돌파 n=77, k=0.6 |
23.6% | -70.9% | 0.77 | 0.33 | 195.6x | 133 | 51% |
| Supertrend period=22, mult=5 |
24.2% | -83.3% | 0.75 | 0.29 | 220.3x | 55 | 58% |
| ADX / DI 방향성 period=29, threshold=17 |
15.5% | -72.4% | 0.64 | 0.21 | 35.9x | 133 | 32% |
| Parabolic SAR step=0.015, maxStep=0.2 |
10.1% | -76.6% | 0.44 | 0.13 | 11.0x | 423 | 49% |
| MACD fast=19, slow=59, signal=19 |
1.4% | -91.0% | 0.23 | 0.02 | 1.4x | 267 | 53% |
| Buy and hold | 12.2% | -97.3% | 0.48 | 0.13 | 17.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 8-day EMA crosses above the 199-day EMA
- Sell — Sell when the 8-day EMA falls below the 199-day EMA