Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Prosus N.V. Class N backtest
10 trend-following strategies were compared on the full daily history of Prosus N.V. Class N. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.1%, MDD -33.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.3%, drawdown -63.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -33.3%, Sharpe 0.48, 52% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 9.1%, MDD -33.3%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=150, threshold=0.02 |
9.1% | -33.3% | 0.48 | 0.27 | 1.8x | 36 | 52% |
| Donchian 채널 돌파 entryN=113, exitN=79 |
6.8% | -34.6% | 0.41 | 0.20 | 1.6x | 6 | 45% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=1.7 |
5.4% | -40.3% | 0.36 | 0.13 | 1.4x | 48 | 36% |
| SMA 크로스오버 fast=58, slow=174 |
5.9% | -50.6% | 0.35 | 0.12 | 1.5x | 8 | 52% |
| ADX / DI 방향성 period=11, threshold=22 |
5.0% | -39.2% | 0.35 | 0.13 | 1.4x | 82 | 26% |
| EMA 크로스오버 fast=49, slow=186 |
4.8% | -34.1% | 0.32 | 0.14 | 1.4x | 8 | 52% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
1.5% | -11.6% | 0.26 | 0.13 | 1.1x | 4 | 3% |
| Supertrend period=14, mult=4.8 |
2.0% | -45.1% | 0.20 | 0.04 | 1.1x | 26 | 47% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-3.0% | -57.8% | 0.01 | -0.05 | 0.8x | 92 | 45% |
| MACD fast=19, slow=23, signal=8 |
-4.2% | -57.5% | -0.03 | -0.07 | 0.7x | 115 | 47% |
| Buy and hold | 2.3% | -63.3% | 0.25 | 0.04 | 1.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 150-day return is greater than 2%
- Sell — Sell when the 150-day return drops to 2% or below