Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Bytes Technology Group Plc backtest
10 trend-following strategies were compared on the full daily history of Bytes Technology Group Plc. 1 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 4.3%, MDD -9.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -61.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -9.2%, Sharpe 0.64, 4% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 5.3%, MDD -26.9%, exposure 28%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 52.2%p (CAGR 4.3%, MDD -9.2%, exposure 4%).
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=30, threshold=30 |
4.3% | -9.2% | 0.64 | 0.46 | 1.3x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=18, mult=1.9 |
5.3% | -26.9% | 0.41 | 0.20 | 1.3x | 17 | 28% |
| 볼린저 밴드 돌파 n=13, k=2.6 |
2.6% | -22.5% | 0.27 | 0.12 | 1.2x | 25 | 12% |
| Donchian 채널 돌파 entryN=65, exitN=7 |
2.4% | -20.3% | 0.26 | 0.12 | 1.1x | 17 | 16% |
| EMA 크로스오버 fast=45, slow=57 |
2.5% | -49.4% | 0.23 | 0.05 | 1.1x | 13 | 42% |
| SMA 크로스오버 fast=26, slow=150 |
0.8% | -48.7% | 0.16 | 0.02 | 1.0x | 7 | 34% |
| Supertrend period=23, mult=5 |
-0.0% | -54.2% | 0.13 | -0.00 | 1.0x | 11 | 43% |
| MACD fast=7, slow=26, signal=8 |
-1.4% | -60.7% | 0.06 | -0.02 | 0.9x | 125 | 51% |
| ROC 모멘텀 n=45, threshold=0.11 |
-0.4% | -37.9% | 0.05 | -0.01 | 1.0x | 61 | 25% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-5.6% | -66.0% | -0.14 | -0.08 | 0.7x | 99 | 52% |
| Buy and hold | 4.9% | -61.4% | 0.32 | 0.08 | 1.3x | 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, 30-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)