Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Bridgepoint Group Plc backtest
10 trend-following strategies were compared on the full daily history of Bridgepoint Group Plc. 10 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 2.9%, MDD -2.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.5%, drawdown -70.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -2.9%, Sharpe 0.81, 1% exposure.
CAGR reference leader: Parabolic SAR — CAGR 9.2%, MDD -36.8%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 67.7%p (CAGR 2.9%, MDD -2.9%, exposure 1%).
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=34, threshold=24 |
2.9% | -2.9% | 0.81 | 0.99 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=64, exitN=15 |
8.9% | -24.3% | 0.54 | 0.36 | 1.5x | 8 | 26% |
| ROC 모멘텀 n=79, threshold=0.07 |
8.5% | -30.1% | 0.50 | 0.28 | 1.5x | 31 | 31% |
| EMA 크로스오버 fast=6, slow=209 |
7.4% | -30.9% | 0.45 | 0.24 | 1.4x | 7 | 30% |
| Parabolic SAR step=0.01, maxStep=0.14 |
9.2% | -36.8% | 0.44 | 0.25 | 1.6x | 76 | 45% |
| Supertrend period=27, mult=2 |
7.9% | -40.6% | 0.42 | 0.19 | 1.5x | 38 | 37% |
| MACD fast=18, slow=59, signal=13 |
7.7% | -40.5% | 0.39 | 0.19 | 1.5x | 50 | 45% |
| SMA 크로스오버 fast=40, slow=88 |
6.2% | -37.5% | 0.37 | 0.16 | 1.4x | 11 | 37% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
4.1% | -33.6% | 0.34 | 0.12 | 1.2x | 7 | 15% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=2.9 |
3.6% | -32.9% | 0.31 | 0.11 | 1.2x | 7 | 16% |
| Buy and hold | -6.5% | -70.7% | 0.07 | -0.09 | 0.7x | 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, 34-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)