Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Cordiant Digital Infrastructure Limited backtest
10 trend-following strategies were compared on the full daily history of Cordiant Digital Infrastructure Limited. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.5%, MDD -14.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.2%, drawdown -48.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -14.0%, Sharpe 0.75, 41% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.6%, MDD -14.0%, exposure 47%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 8.5%, MDD -14.0%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=68, slow=216 |
8.5% | -14.0% | 0.75 | 0.61 | 1.6x | 3 | 41% |
| ROC 모멘텀 n=210, threshold=-0.01 |
8.6% | -14.0% | 0.72 | 0.61 | 1.6x | 9 | 47% |
| EMA 크로스오버 fast=26, slow=209 |
8.4% | -14.0% | 0.71 | 0.60 | 1.6x | 5 | 45% |
| Donchian 채널 돌파 entryN=49, exitN=39 |
4.4% | -20.6% | 0.44 | 0.21 | 1.3x | 13 | 46% |
| 볼린저 밴드 돌파 n=35, k=2.5 |
3.2% | -7.9% | 0.42 | 0.40 | 1.2x | 18 | 23% |
| Parabolic SAR step=0.01, maxStep=0.22 |
4.8% | -24.7% | 0.40 | 0.19 | 1.3x | 60 | 53% |
| MACD fast=15, slow=23, signal=10 |
3.3% | -24.0% | 0.29 | 0.14 | 1.2x | 80 | 48% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=3.4 |
1.0% | -8.5% | 0.22 | 0.12 | 1.1x | 6 | 12% |
| Supertrend period=29, mult=3 |
1.4% | -28.1% | 0.17 | 0.05 | 1.1x | 29 | 53% |
| ADX / DI 방향성 period=47, threshold=27 |
-0.1% | -3.9% | -0.02 | -0.03 | 1.0x | 2 | 5% |
| Buy and hold | 4.2% | -48.2% | 0.30 | 0.09 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 68-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 68-day average falls below the 216-day average