Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Standard Life plc backtest
10 trend-following strategies were compared on the full daily history of Standard Life 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 2.7%, drawdown -49.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -18.6%, Sharpe 0.28, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.1%, MDD -57.5%, exposure 91%.
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=51, threshold=18 |
1.7% | -18.6% | 0.28 | 0.09 | 1.3x | 8 | 10% |
| Donchian 채널 돌파 entryN=4, exitN=87 |
2.1% | -57.5% | 0.21 | 0.04 | 1.4x | 57 | 91% |
| SMA 크로스오버 fast=35, slow=363 |
1.5% | -50.1% | 0.17 | 0.03 | 1.3x | 23 | 53% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=9, mult=2.8 |
0.4% | -5.9% | 0.15 | 0.06 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=25, k=3 |
0.6% | -19.7% | 0.14 | 0.03 | 1.1x | 14 | 4% |
| ROC 모멘텀 n=142, threshold=0.1 |
0.1% | -46.8% | 0.06 | 0.00 | 1.0x | 105 | 24% |
| EMA 크로스오버 fast=59, slow=215 |
-0.6% | -65.4% | 0.04 | -0.01 | 0.9x | 23 | 53% |
| Supertrend period=26, mult=4.2 |
-1.8% | -67.7% | -0.01 | -0.03 | 0.7x | 67 | 57% |
| MACD fast=10, slow=37, signal=15 |
-3.6% | -67.9% | -0.13 | -0.05 | 0.5x | 255 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-6.6% | -77.8% | -0.32 | -0.09 | 0.3x | 303 | 52% |
| Buy and hold | 2.7% | -49.0% | 0.23 | 0.06 | 1.6x | 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, 51-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)