Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Trent Limited backtest
10 trend-following strategies were compared on the full daily history of Trent Limited. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 25.4%, drawdown -96.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.0%, MDD -40.2%, Sharpe 0.57, 31% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 25.7%, MDD -92.0%, exposure 71%.
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=21 |
10.0% | -40.2% | 0.57 | 0.25 | 9.9x | 82 | 31% |
| SMA 크로스오버 fast=14, slow=29 |
6.4% | -91.8% | 0.49 | 0.07 | 4.5x | 206 | 58% |
| MACD fast=17, slow=71, signal=18 |
6.2% | -91.9% | 0.49 | 0.07 | 4.3x | 216 | 50% |
| 볼린저 밴드 돌파 n=47, k=0.9 |
4.9% | -95.5% | 0.45 | 0.05 | 3.2x | 178 | 51% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=9, mult=1.2 |
4.6% | -93.6% | 0.44 | 0.05 | 2.9x | 162 | 47% |
| Parabolic SAR step=0.01, maxStep=0.04 |
4.2% | -93.6% | 0.43 | 0.04 | 2.7x | 220 | 52% |
| ROC 모멘텀 n=41, threshold=-0.02 |
3.8% | -96.0% | 0.41 | 0.04 | 2.5x | 350 | 66% |
| Donchian 채널 돌파 entryN=48, exitN=56 |
25.7% | -92.0% | 0.32 | 0.28 | 249.4x | 35 | 71% |
| Supertrend period=9, mult=4.9 |
24.8% | -95.3% | 0.32 | 0.26 | 212.0x | 44 | 70% |
| EMA 크로스오버 fast=20, slow=129 |
23.3% | -92.7% | 0.31 | 0.25 | 156.7x | 46 | 66% |
| Buy and hold | 25.4% | -96.1% | 0.33 | 0.26 | 237.7x | 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 ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)