Trend-Following Backtester · Guide · backtest 한국어
etf · GB
CQS New City High Yield Fund Ltd GBP backtest
10 trend-following strategies were compared on the full daily history of CQS New City High Yield Fund Ltd GBP. 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 0.4%, drawdown -60.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -0.5%, Sharpe 0.17, 0% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.1%, MDD -4.6%, exposure 0%.
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=28, threshold=49 |
0.1% | -0.5% | 0.17 | 0.14 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=54, threshold=0.18 |
0.1% | -4.6% | 0.08 | 0.02 | 1.0x | 8 | 0% |
| SMA 크로스오버 fast=26, slow=160 |
-0.2% | -30.9% | 0.02 | -0.01 | 1.0x | 51 | 51% |
| Supertrend period=24, mult=4.6 |
-0.4% | -39.4% | 0.01 | -0.01 | 0.9x | 68 | 58% |
| Donchian 채널 돌파 entryN=113, exitN=65 |
-0.4% | -34.9% | -0.02 | -0.01 | 0.9x | 28 | 39% |
| EMA 크로스오버 fast=53, slow=112 |
-0.7% | -38.1% | -0.04 | -0.02 | 0.9x | 51 | 52% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=21, mult=2.4 |
-0.5% | -17.4% | -0.11 | -0.03 | 0.9x | 62 | 13% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
-0.3% | -10.0% | -0.19 | -0.03 | 0.9x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.5% | -59.4% | -0.28 | -0.06 | 0.5x | 158 | 52% |
| MACD fast=17, slow=23, signal=14 |
-7.2% | -81.4% | -0.67 | -0.09 | 0.2x | 334 | 53% |
| Buy and hold | 0.4% | -60.5% | 0.11 | 0.01 | 1.1x | 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, 28-day) is ≥ 49
- Sell — Sell when direction flips or the trend weakens (ADX < 49)