Trend-Following Backtester · Guide · backtest 한국어
equity · NZ
Spark New Zealand Limited backtest
10 trend-following strategies were compared on the full daily history of Spark New Zealand Limited. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -10.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -4.6%, drawdown -81.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.2%, MDD -34.9%, Sharpe 0.16, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR -0.0%, MDD -10.5%, exposure 1%).
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=58, slow=285 |
1.2% | -34.9% | 0.16 | 0.04 | 1.4x | 22 | 48% |
| SMA 크로스오버 fast=51, slow=130 |
0.5% | -35.1% | 0.11 | 0.02 | 1.2x | 48 | 49% |
| ADX / DI 방향성 period=34, threshold=28 |
-0.0% | -10.5% | 0.01 | -0.00 | 1.0x | 6 | 1% |
| Donchian 채널 돌파 entryN=101, exitN=91 |
-1.0% | -46.7% | 0.01 | -0.02 | 0.8x | 32 | 45% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
-0.3% | -12.6% | -0.06 | -0.02 | 0.9x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=3.9 |
-2.1% | -47.6% | -0.20 | -0.04 | 0.6x | 38 | 13% |
| MACD fast=41, slow=88, signal=31 |
-6.5% | -84.1% | -0.27 | -0.08 | 0.2x | 153 | 50% |
| Supertrend period=18, mult=4.3 |
-6.0% | -83.2% | -0.29 | -0.07 | 0.2x | 104 | 44% |
| ROC 모멘텀 n=133, threshold=-0.01 |
-6.3% | -83.5% | -0.32 | -0.08 | 0.2x | 270 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-9.0% | -92.9% | -0.45 | -0.10 | 0.1x | 221 | 48% |
| Buy and hold | -4.6% | -81.5% | -0.05 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 285-day EMA
- Sell — Sell when the 58-day EMA falls below the 285-day EMA