Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Trustpilot Group Plc backtest
10 trend-following strategies were compared on the full daily history of Trustpilot Group Plc. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.9%, MDD -26.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.7%, drawdown -88.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.9%, MDD -26.8%, Sharpe 0.91, 16% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 28.4%, MDD -35.0%, exposure 49%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 61.4%p (CAGR 14.9%, MDD -26.8%, exposure 16%).
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=23, threshold=26 |
14.9% | -26.8% | 0.91 | 0.56 | 2.1x | 12 | 16% |
| EMA 크로스오버 fast=19, slow=192 |
23.2% | -40.6% | 0.90 | 0.57 | 3.1x | 5 | 36% |
| SMA 크로스오버 fast=16, slow=187 |
23.9% | -35.7% | 0.83 | 0.67 | 3.2x | 5 | 42% |
| ROC 모멘텀 n=62, threshold=0 |
28.4% | -35.0% | 0.82 | 0.81 | 3.9x | 49 | 49% |
| Supertrend period=27, mult=3.5 |
21.8% | -32.4% | 0.72 | 0.67 | 2.9x | 23 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=1.4 |
16.0% | -43.6% | 0.60 | 0.37 | 2.2x | 29 | 41% |
| Donchian 채널 돌파 entryN=21, exitN=70 |
18.4% | -65.3% | 0.59 | 0.28 | 2.5x | 13 | 69% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
13.3% | -47.4% | 0.55 | 0.28 | 2.0x | 25 | 43% |
| Parabolic SAR step=0.015, maxStep=0.22 |
10.8% | -59.4% | 0.46 | 0.18 | 1.7x | 94 | 49% |
| MACD fast=19, slow=41, signal=11 |
-7.4% | -74.1% | 0.05 | -0.10 | 0.7x | 67 | 52% |
| Buy and hold | 1.7% | -88.2% | 0.32 | 0.02 | 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, 23-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)