Trend-Following Backtester · Guide · backtest 한국어
equity · PL
ASBISc Enterprises Plc backtest
10 trend-following strategies were compared on the full daily history of ASBISc Enterprises Plc. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 27.3%, MDD -35.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 17.0%, drawdown -93.7%).
Sharpe leader (same as main): Supertrend — CAGR 47.0%, MDD -47.9%, Sharpe 1.13, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.0%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 27.3%, MDD -35.2%, exposure 31%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.5 |
47.0% | -47.9% | 1.13 | 0.98 | 1421.8x | 49 | 59% |
| Donchian 채널 돌파 entryN=110, exitN=56 |
38.3% | -47.6% | 1.13 | 0.80 | 448.5x | 19 | 48% |
| SMA 크로스오버 fast=39, slow=186 |
41.1% | -57.3% | 1.12 | 0.72 | 659.6x | 21 | 52% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=10, mult=1.9 |
35.7% | -38.7% | 1.07 | 0.92 | 312.6x | 97 | 35% |
| EMA 크로스오버 fast=24, slow=76 |
38.3% | -52.7% | 1.04 | 0.73 | 451.8x | 43 | 55% |
| ADX / DI 방향성 period=24, threshold=13 |
36.4% | -39.3% | 1.02 | 0.93 | 344.4x | 165 | 41% |
| ROC 모멘텀 n=139, threshold=0.05 |
33.4% | -57.9% | 0.99 | 0.58 | 228.2x | 89 | 50% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
27.3% | -35.2% | 0.93 | 0.78 | 94.6x | 59 | 31% |
| Parabolic SAR step=0.005, maxStep=0.2 |
26.3% | -53.5% | 0.78 | 0.49 | 81.6x | 135 | 48% |
| MACD fast=9, slow=73, signal=24 |
13.7% | -79.5% | 0.51 | 0.17 | 11.1x | 221 | 51% |
| Buy and hold | 17.0% | -93.7% | 0.55 | 0.18 | 19.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)