Trend-Following Backtester · Guide · backtest 한국어
equity · GB
TT Electronics plc backtest
10 trend-following strategies were compared on the full daily history of TT Electronics plc. 7 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 2.5%, MDD -21.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.5%, drawdown -94.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -21.5%, Sharpe 0.42, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.9%, MDD -52.0%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 73.3%p (CAGR 2.5%, MDD -21.5%, exposure 4%).
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=38, threshold=39 |
2.5% | -21.5% | 0.42 | 0.11 | 2.5x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=4 |
2.7% | -54.9% | 0.38 | 0.05 | 2.8x | 104 | 9% |
| SMA 크로스오버 fast=24, slow=116 |
6.9% | -52.0% | 0.37 | 0.13 | 12.8x | 95 | 55% |
| EMA 크로스오버 fast=38, slow=77 |
5.7% | -46.8% | 0.33 | 0.12 | 8.2x | 91 | 55% |
| ROC 모멘텀 n=94, threshold=-0.1 |
5.0% | -75.0% | 0.31 | 0.07 | 6.5x | 225 | 71% |
| Donchian 채널 돌파 entryN=89, exitN=74 |
4.1% | -74.5% | 0.28 | 0.05 | 4.6x | 63 | 52% |
| Supertrend period=20, mult=4.9 |
2.1% | -90.8% | 0.20 | 0.02 | 2.2x | 209 | 47% |
| Parabolic SAR step=0.01, maxStep=0.08 |
0.3% | -92.0% | 0.15 | 0.00 | 1.1x | 391 | 51% |
| 볼린저 밴드 돌파 n=30, k=2.4 |
1.0% | -65.9% | 0.14 | 0.01 | 1.4x | 189 | 27% |
| MACD fast=29, slow=44, signal=14 |
-1.0% | -89.9% | 0.11 | -0.01 | 0.7x | 377 | 49% |
| Buy and hold | 1.5% | -94.8% | 0.24 | 0.02 | 1.8x | 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, 38-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)