Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Frasers Logistics & Commercial Trust backtest
10 trend-following strategies were compared on the full daily history of Frasers Logistics & Commercial Trust. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -6.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -50.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.6%, MDD -8.0%, Sharpe 0.36, 2% exposure.
CAGR reference leader: Supertrend — CAGR 2.3%, MDD -32.6%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 0.7%, MDD -6.5%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=82, threshold=0.24 |
1.6% | -8.0% | 0.36 | 0.20 | 1.2x | 4 | 2% |
| ADX / DI 방향성 period=66, threshold=21 |
0.7% | -6.5% | 0.25 | 0.11 | 1.1x | 2 | 4% |
| Supertrend period=15, mult=2.3 |
2.3% | -32.6% | 0.22 | 0.07 | 1.3x | 66 | 54% |
| Donchian 채널 돌파 entryN=13, exitN=71 |
-1.1% | -50.1% | 0.03 | -0.02 | 0.9x | 42 | 83% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=2.6 |
-0.3% | -25.4% | 0.02 | -0.01 | 1.0x | 26 | 25% |
| EMA 크로스오버 fast=19, slow=166 |
-1.7% | -37.4% | -0.04 | -0.05 | 0.8x | 24 | 53% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-2.4% | -43.7% | -0.08 | -0.06 | 0.8x | 116 | 54% |
| 볼린저 밴드 돌파 n=47, k=2.8 |
-1.0% | -17.7% | -0.10 | -0.06 | 0.9x | 16 | 12% |
| SMA 크로스오버 fast=9, slow=199 |
-2.7% | -43.4% | -0.11 | -0.06 | 0.8x | 32 | 51% |
| MACD fast=17, slow=22, signal=19 |
-2.8% | -39.7% | -0.11 | -0.07 | 0.8x | 122 | 49% |
| Buy and hold | 0.3% | -50.3% | 0.13 | 0.01 | 1.0x | 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 82-day return is greater than 24%
- Sell — Sell when the 82-day return drops to 24% or below