Trend-Following Backtester · Guide · backtest 한국어
etf · GB
HICL Infrastructure PLC backtest
10 trend-following strategies were compared on the full daily history of HICL Infrastructure 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 1.7%, drawdown -42.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -0.5%, Sharpe 0.17, 0% exposure.
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=24, threshold=39 |
0.1% | -0.5% | 0.17 | 0.15 | 1.0x | 4 | 0% |
| ROC 모멘텀 n=26, threshold=0.15 |
0.1% | -6.9% | 0.05 | 0.01 | 1.0x | 12 | 0% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-0.2% | -10.9% | -0.03 | -0.02 | 1.0x | 10 | 5% |
| SMA 크로스오버 fast=58, slow=179 |
-1.6% | -48.9% | -0.10 | -0.03 | 0.7x | 39 | 60% |
| EMA 크로스오버 fast=49, slow=273 |
-2.0% | -50.2% | -0.12 | -0.04 | 0.7x | 31 | 64% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=24, mult=3.9 |
-0.4% | -12.1% | -0.22 | -0.04 | 0.9x | 8 | 1% |
| Donchian 채널 돌파 entryN=27, exitN=61 |
-4.2% | -65.2% | -0.31 | -0.06 | 0.4x | 61 | 72% |
| Supertrend period=25, mult=5 |
-4.9% | -72.1% | -0.43 | -0.07 | 0.4x | 67 | 56% |
| MACD fast=31, slow=54, signal=29 |
-7.0% | -81.2% | -0.65 | -0.09 | 0.2x | 186 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-11.0% | -92.0% | -1.05 | -0.12 | 0.1x | 353 | 53% |
| Buy and hold | 1.7% | -42.7% | 0.19 | 0.04 | 1.4x | 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, 24-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)