Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Conduit Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Conduit Holdings Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -8.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.1%, drawdown -50.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -18.8%, Sharpe 0.76, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 2.3%, MDD -8.7%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=129 |
11.3% | -18.8% | 0.76 | 0.60 | 1.9x | 9 | 42% |
| Donchian 채널 돌파 entryN=59, exitN=39 |
8.4% | -17.4% | 0.65 | 0.48 | 1.6x | 5 | 35% |
| ADX / DI 방향성 period=32, threshold=36 |
2.3% | -8.7% | 0.50 | 0.26 | 1.1x | 2 | 4% |
| EMA 크로스오버 fast=40, slow=206 |
6.1% | -22.2% | 0.46 | 0.28 | 1.4x | 5 | 44% |
| 볼린저 밴드 돌파 n=72, k=1.9 |
4.3% | -14.2% | 0.43 | 0.31 | 1.3x | 10 | 23% |
| ROC 모멘텀 n=97, threshold=0.09 |
4.4% | -14.0% | 0.42 | 0.32 | 1.3x | 24 | 25% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=20, mult=3.9 |
3.6% | -17.6% | 0.40 | 0.21 | 1.2x | 6 | 17% |
| Supertrend period=28, mult=5 |
0.8% | -44.6% | 0.14 | 0.02 | 1.0x | 11 | 58% |
| Parabolic SAR step=0.04, maxStep=0.32 |
-4.9% | -51.0% | -0.19 | -0.10 | 0.8x | 192 | 47% |
| MACD fast=6, slow=36, signal=7 |
-9.1% | -58.4% | -0.44 | -0.16 | 0.6x | 154 | 51% |
| Buy and hold | -2.1% | -50.3% | 0.05 | -0.04 | 0.9x | 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 37-day average price crosses above the 129-day average
- Sell — Sell (to cash) when the 37-day average falls below the 129-day average