Trend-Following Backtester · Guide · backtest 한국어
equity · IN
CESC Ltd backtest
10 trend-following strategies were compared on the full daily history of CESC Ltd. 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 19.4%, drawdown -92.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.5%, MDD -51.6%, Sharpe 0.43, 26% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 18.1%, MDD -93.0%, exposure 51%.
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=16 |
7.5% | -51.6% | 0.43 | 0.15 | 5.8x | 112 | 26% |
| Donchian 채널 돌파 entryN=61, exitN=57 |
0.5% | -96.4% | 0.33 | 0.01 | 1.1x | 44 | 56% |
| EMA 크로스오버 fast=70, slow=145 |
17.7% | -92.5% | 0.29 | 0.19 | 51.7x | 26 | 61% |
| ROC 모멘텀 n=153, threshold=0.06 |
18.1% | -93.0% | 0.29 | 0.19 | 55.6x | 150 | 51% |
| SMA 크로스오버 fast=33, slow=144 |
17.1% | -93.7% | 0.28 | 0.18 | 45.4x | 52 | 59% |
| MACD fast=19, slow=55, signal=23 |
13.7% | -91.9% | 0.27 | 0.15 | 22.3x | 208 | 51% |
| 볼린저 밴드 돌파 n=44, k=0.8 |
12.3% | -93.7% | 0.26 | 0.13 | 16.6x | 188 | 48% |
| Supertrend period=11, mult=2.3 |
11.2% | -92.4% | 0.26 | 0.12 | 13.0x | 198 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=0.8 |
9.8% | -94.9% | 0.25 | 0.10 | 9.6x | 214 | 47% |
| Parabolic SAR step=0.01, maxStep=0.34 |
6.4% | -95.8% | 0.23 | 0.07 | 4.5x | 320 | 50% |
| Buy and hold | 19.4% | -92.8% | 0.31 | 0.21 | 72.8x | 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, 31-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)