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 15.2%, MDD -26.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.3%, drawdown -88.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.2%, MDD -26.8%, Sharpe 0.91, 17% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 28.0%, MDD -35.0%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 61.4%p (CAGR 15.2%, MDD -26.8%, exposure 17%).
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 |
15.2% | -26.8% | 0.91 | 0.57 | 2.1x | 12 | 17% |
| EMA 크로스오버 fast=19, slow=192 |
21.8% | -40.6% | 0.86 | 0.54 | 2.9x | 5 | 35% |
| ROC 모멘텀 n=62, threshold=0 |
28.0% | -35.0% | 0.81 | 0.80 | 3.8x | 47 | 48% |
| SMA 크로스오버 fast=16, slow=187 |
22.5% | -35.7% | 0.79 | 0.63 | 3.0x | 5 | 42% |
| Supertrend period=27, mult=3.5 |
20.4% | -32.4% | 0.69 | 0.63 | 2.7x | 23 | 48% |
| Donchian 채널 돌파 entryN=21, exitN=70 |
17.0% | -65.3% | 0.57 | 0.26 | 2.3x | 13 | 68% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=1.4 |
14.6% | -43.6% | 0.57 | 0.33 | 2.1x | 29 | 40% |
| 볼린저 밴드 돌파 n=51, k=1.1 |
11.8% | -47.4% | 0.51 | 0.25 | 1.8x | 25 | 42% |
| Parabolic SAR step=0.015, maxStep=0.22 |
10.1% | -59.4% | 0.44 | 0.17 | 1.7x | 93 | 49% |
| MACD fast=19, slow=41, signal=11 |
-6.4% | -74.1% | 0.08 | -0.09 | 0.7x | 64 | 52% |
| Buy and hold | 0.3% | -88.2% | 0.30 | 0.00 | 1.0x | 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)