Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Pollen Street Group Limited backtest
10 trend-following strategies were compared on the full daily history of Pollen Street Group Limited. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -0.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.0%, drawdown -57.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -28.9%, Sharpe 0.31, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 0.2%, MDD -0.5%, exposure 0%).
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=44, slow=79 |
3.4% | -28.9% | 0.31 | 0.12 | 1.4x | 33 | 46% |
| 볼린저 밴드 돌파 n=54, k=2.4 |
2.4% | -20.5% | 0.29 | 0.12 | 1.3x | 23 | 24% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=1.6 |
2.4% | -17.0% | 0.28 | 0.14 | 1.3x | 25 | 33% |
| ROC 모멘텀 n=17, threshold=0.13 |
1.0% | -8.2% | 0.27 | 0.12 | 1.1x | 16 | 2% |
| ADX / DI 방향성 period=21, threshold=38 |
0.2% | -0.5% | 0.23 | 0.36 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=75, exitN=14 |
1.6% | -17.0% | 0.21 | 0.09 | 1.2x | 21 | 18% |
| EMA 크로스오버 fast=55, slow=160 |
0.9% | -24.5% | 0.13 | 0.04 | 1.1x | 13 | 49% |
| Supertrend period=21, mult=2.9 |
0.5% | -30.8% | 0.10 | 0.01 | 1.0x | 49 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.6% | -29.7% | 0.02 | -0.02 | 0.9x | 79 | 52% |
| MACD fast=10, slow=37, signal=18 |
-4.7% | -47.6% | -0.28 | -0.10 | 0.6x | 115 | 47% |
| Buy and hold | -1.0% | -57.8% | 0.05 | -0.02 | 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 44-day average price crosses above the 79-day average
- Sell — Sell (to cash) when the 44-day average falls below the 79-day average