Trend-Following Backtester · Guide · backtest 한국어
etf · GB
CT Private Equity Trust PLC backtest
10 trend-following strategies were compared on the full daily history of CT Private Equity Trust PLC. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 9.7%, MDD -39.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.8%, drawdown -79.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -6.2%, Sharpe 1.00, 10% exposure.
CAGR reference leader: Parabolic SAR — CAGR 9.7%, MDD -39.5%, exposure 57%.
Return/drawdown alternative: Parabolic SAR — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 72.9%p (CAGR 9.7%, MDD -39.5%, exposure 57%).
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=48, threshold=43 |
2.5% | -6.2% | 1.00 | 0.41 | 1.9x | 14 | 10% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.8 |
2.9% | -17.9% | 0.77 | 0.16 | 2.1x | 44 | 16% |
| Parabolic SAR step=0.015, maxStep=0.16 |
9.7% | -39.5% | 0.69 | 0.25 | 10.1x | 350 | 57% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
1.6% | -9.4% | 0.62 | 0.17 | 1.5x | 26 | 9% |
| Supertrend period=18, mult=2.9 |
7.7% | -50.3% | 0.58 | 0.15 | 6.4x | 134 | 57% |
| Donchian 채널 돌파 entryN=14, exitN=16 |
6.6% | -57.4% | 0.51 | 0.11 | 4.9x | 162 | 60% |
| SMA 크로스오버 fast=59, slow=188 |
6.5% | -48.0% | 0.48 | 0.13 | 4.8x | 32 | 65% |
| ROC 모멘텀 n=137, threshold=0.14 |
2.9% | -23.1% | 0.37 | 0.13 | 2.1x | 106 | 20% |
| EMA 크로스오버 fast=24, slow=35 |
3.9% | -51.7% | 0.33 | 0.07 | 2.6x | 120 | 59% |
| MACD fast=14, slow=50, signal=11 |
0.5% | -55.1% | 0.11 | 0.01 | 1.1x | 328 | 50% |
| Buy and hold | 5.8% | -79.1% | 0.37 | 0.07 | 4.1x | 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, 48-day) is ≥ 43
- Sell — Sell when direction flips or the trend weakens (ADX < 43)