Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Vodafone Group Public Limited Company backtest
10 trend-following strategies were compared on the full daily history of Vodafone Group Public Limited Company. 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 5.9%, drawdown -86.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -48.3%, Sharpe 0.30, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -78.7%, exposure 53%.
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=31, threshold=34 |
3.0% | -48.3% | 0.30 | 0.06 | 3.1x | 26 | 13% |
| SMA 크로스오버 fast=28, slow=90 |
3.8% | -78.7% | 0.28 | 0.05 | 4.2x | 124 | 53% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
2.5% | -50.2% | 0.27 | 0.05 | 2.5x | 44 | 12% |
| EMA 크로스오버 fast=45, slow=58 |
3.3% | -71.2% | 0.25 | 0.05 | 3.4x | 117 | 54% |
| Donchian 채널 돌파 entryN=45, exitN=51 |
2.8% | -86.0% | 0.23 | 0.03 | 2.8x | 78 | 47% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=4 |
2.1% | -71.0% | 0.23 | 0.03 | 2.2x | 84 | 14% |
| ROC 모멘텀 n=27, threshold=-0.12 |
1.4% | -96.4% | 0.19 | 0.01 | 1.7x | 231 | 93% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.1% | -83.4% | 0.10 | -0.00 | 1.0x | 293 | 49% |
| Supertrend period=27, mult=5 |
-0.6% | -92.8% | 0.07 | -0.01 | 0.8x | 165 | 52% |
| MACD fast=22, slow=34, signal=19 |
-4.7% | -96.3% | -0.10 | -0.05 | 0.2x | 435 | 52% |
| Buy and hold | 5.9% | -86.8% | 0.34 | 0.07 | 8.7x | 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, 31-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)