Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Sirius Real Estate Limited backtest
10 trend-following strategies were compared on the full daily history of Sirius Real Estate Limited. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -1.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.7%, drawdown -97.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -42.4%, Sharpe 0.32, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 55.1%p (CAGR 0.0%, MDD -1.9%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=91, exitN=39 |
5.6% | -42.4% | 0.32 | 0.13 | 3.4x | 38 | 44% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
2.4% | -48.8% | 0.22 | 0.05 | 1.7x | 88 | 13% |
| Supertrend period=22, mult=3.9 |
2.2% | -73.0% | 0.22 | 0.03 | 1.6x | 105 | 63% |
| SMA 크로스오버 fast=42, slow=111 |
2.1% | -61.6% | 0.20 | 0.03 | 1.6x | 52 | 55% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.2% | -86.2% | 0.18 | 0.01 | 1.3x | 283 | 50% |
| ROC 모멘텀 n=140, threshold=-0.01 |
1.0% | -67.1% | 0.16 | 0.01 | 1.2x | 133 | 59% |
| EMA 크로스오버 fast=9, slow=176 |
0.2% | -65.1% | 0.12 | 0.00 | 1.0x | 71 | 52% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=28, mult=1.6 |
0.2% | -54.9% | 0.11 | 0.00 | 1.0x | 92 | 11% |
| MACD fast=8, slow=31, signal=16 |
-1.4% | -79.8% | 0.09 | -0.02 | 0.7x | 337 | 50% |
| ADX / DI 방향성 period=38, threshold=30 |
0.0% | -1.9% | 0.03 | 0.01 | 1.0x | 4 | 0% |
| Buy and hold | -3.7% | -97.5% | 0.12 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 91 days
- Sell — Sell when price breaks below the lowest low of the last 39 days