Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Infratil Limited backtest
10 trend-following strategies were compared on the full daily history of Infratil Limited. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.3%, MDD -30.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -56.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.3%, MDD -30.1%, Sharpe 0.68, 76% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.1%, MDD -63.9%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 26.0%p (CAGR 11.3%, MDD -30.1%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=11, slow=328 |
11.3% | -30.1% | 0.68 | 0.37 | 17.0x | 25 | 76% |
| Donchian 채널 돌파 entryN=11, exitN=82 |
11.6% | -45.9% | 0.64 | 0.25 | 18.6x | 53 | 90% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.11 |
12.1% | -63.9% | 0.64 | 0.19 | 20.7x | 21 | 99% |
| SMA 크로스오버 fast=24, slow=200 |
8.6% | -36.6% | 0.55 | 0.23 | 8.8x | 45 | 72% |
| Parabolic SAR step=0.005, maxStep=0.3 |
6.7% | -27.8% | 0.48 | 0.24 | 5.7x | 189 | 58% |
| Supertrend period=28, mult=4.4 |
6.1% | -37.2% | 0.44 | 0.17 | 4.9x | 105 | 67% |
| ADX / DI 방향성 period=24, threshold=33 |
3.0% | -17.4% | 0.43 | 0.17 | 2.2x | 24 | 10% |
| MACD fast=21, slow=40, signal=19 |
5.6% | -41.3% | 0.43 | 0.13 | 4.2x | 266 | 49% |
| 볼린저 밴드 돌파 n=40, k=3.2 |
2.2% | -24.6% | 0.32 | 0.09 | 1.8x | 40 | 14% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=15, mult=1.2 |
1.7% | -42.3% | 0.18 | 0.04 | 1.5x | 264 | 50% |
| Buy and hold | 12.4% | -56.0% | 0.63 | 0.22 | 22.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 11-day EMA crosses above the 328-day EMA
- Sell — Sell when the 11-day EMA falls below the 328-day EMA