Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Allfunds Group plc backtest
10 trend-following strategies were compared on the full daily history of Allfunds Group plc. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.3%, MDD -12.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.2%, drawdown -75.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -15.3%, Sharpe 0.52, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -23.8%, exposure 29%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 60.3%p (CAGR 1.3%, MDD -12.8%, 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=19, threshold=32 |
3.3% | -15.3% | 0.52 | 0.21 | 1.2x | 6 | 7% |
| EMA 크로스오버 fast=24, slow=266 |
6.7% | -23.8% | 0.48 | 0.28 | 1.4x | 3 | 26% |
| SMA 크로스오버 fast=25, slow=274 |
6.8% | -23.8% | 0.47 | 0.29 | 1.4x | 3 | 29% |
| Donchian 채널 돌파 entryN=123, exitN=70 |
5.5% | -23.8% | 0.40 | 0.23 | 1.3x | 3 | 29% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=3.6 |
1.3% | -12.8% | 0.27 | 0.10 | 1.1x | 4 | 4% |
| ROC 모멘텀 n=76, threshold=0.1 |
2.7% | -26.0% | 0.23 | 0.10 | 1.1x | 42 | 24% |
| Supertrend period=32, mult=5 |
0.7% | -50.9% | 0.14 | 0.01 | 1.0x | 13 | 43% |
| 볼린저 밴드 돌파 n=35, k=3.3 |
-0.8% | -15.0% | -0.07 | -0.05 | 1.0x | 6 | 8% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-6.3% | -65.9% | -0.11 | -0.10 | 0.7x | 125 | 49% |
| MACD fast=10, slow=68, signal=12 |
-7.8% | -62.5% | -0.13 | -0.12 | 0.7x | 79 | 48% |
| Buy and hold | -8.2% | -75.6% | -0.03 | -0.11 | 0.6x | 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, 19-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)