Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cushman & Wakefield Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cushman & Wakefield Ltd.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -7.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.5%, drawdown -71.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -35.0%, Sharpe 0.35, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 0.7%, MDD -7.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=166 |
6.0% | -35.0% | 0.35 | 0.17 | 1.6x | 16 | 51% |
| ROC 모멘텀 n=115, threshold=0.06 |
4.3% | -34.1% | 0.29 | 0.13 | 1.4x | 63 | 41% |
| EMA 크로스오버 fast=40, slow=93 |
2.7% | -45.2% | 0.23 | 0.06 | 1.2x | 16 | 53% |
| ADX / DI 방향성 period=22, threshold=34 |
0.7% | -7.2% | 0.21 | 0.10 | 1.1x | 2 | 1% |
| Supertrend period=12, mult=4.9 |
1.5% | -57.4% | 0.20 | 0.03 | 1.1x | 22 | 59% |
| Donchian 채널 돌파 entryN=27, exitN=49 |
-1.7% | -51.4% | 0.11 | -0.03 | 0.9x | 23 | 67% |
| MACD fast=18, slow=40, signal=17 |
-5.4% | -65.5% | -0.01 | -0.08 | 0.6x | 91 | 51% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=3.8 |
-0.5% | -12.6% | -0.06 | -0.04 | 1.0x | 6 | 3% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-9.4% | -60.2% | -0.14 | -0.16 | 0.5x | 68 | 53% |
| 볼린저 밴드 돌파 n=26, k=3.2 |
-2.4% | -41.5% | -0.19 | -0.06 | 0.8x | 14 | 7% |
| Buy and hold | -3.5% | -71.8% | 0.16 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 13-day average falls below the 166-day average