Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Caledonia Investments PLC backtest
10 trend-following strategies were compared on the full daily history of Caledonia Investments PLC. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -94.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -55.3%, Sharpe 0.39, 38% exposure.
CAGR reference leader: Parabolic SAR — CAGR 11.4%, MDD -88.3%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=36, threshold=20 |
5.1% | -55.3% | 0.39 | 0.09 | 14.4x | 164 | 38% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=12, mult=3.9 |
3.9% | -61.8% | 0.34 | 0.06 | 8.0x | 152 | 29% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
2.5% | -39.8% | 0.28 | 0.06 | 3.7x | 96 | 21% |
| Donchian 채널 돌파 entryN=93, exitN=43 |
2.9% | -52.0% | 0.26 | 0.06 | 4.8x | 135 | 43% |
| ROC 모멘텀 n=143, threshold=0.07 |
2.6% | -71.2% | 0.24 | 0.04 | 4.0x | 280 | 41% |
| Supertrend period=23, mult=5 |
2.6% | -63.8% | 0.23 | 0.04 | 3.9x | 239 | 58% |
| SMA 크로스오버 fast=33, slow=88 |
-0.1% | -92.7% | 0.18 | -0.00 | 0.9x | 175 | 60% |
| EMA 크로스오버 fast=67, slow=242 |
10.6% | -95.3% | 0.14 | 0.11 | 231.3x | 69 | 64% |
| MACD fast=14, slow=23, signal=18 |
8.6% | -78.6% | 0.14 | 0.11 | 84.9x | 713 | 48% |
| Parabolic SAR step=0.02, maxStep=0.3 |
11.4% | -88.3% | 0.14 | 0.13 | 334.6x | 721 | 54% |
| Buy and hold | 17.1% | -94.3% | 0.15 | 0.18 | 4996.1x | 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, 36-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)