Trend-Following Backtester · Guide · backtest 한국어
equity · GB
AEP Plantations Plc backtest
10 trend-following strategies were compared on the full daily history of AEP Plantations Plc. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -45.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.2%, drawdown -80.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -62.0%, Sharpe 0.59, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 8.5%, MDD -45.7%, exposure 32%).
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=43, slow=128 |
12.3% | -62.0% | 0.59 | 0.20 | 83.5x | 62 | 55% |
| EMA 크로스오버 fast=50, slow=109 |
11.8% | -64.4% | 0.58 | 0.18 | 70.8x | 61 | 55% |
| Donchian 채널 돌파 entryN=36, exitN=50 |
11.0% | -60.2% | 0.54 | 0.18 | 53.7x | 103 | 61% |
| ROC 모멘텀 n=175, threshold=0.03 |
10.4% | -59.7% | 0.53 | 0.17 | 42.6x | 181 | 51% |
| ADX / DI 방향성 period=52, threshold=15 |
7.8% | -41.0% | 0.53 | 0.19 | 17.5x | 96 | 26% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.3 |
8.5% | -45.7% | 0.52 | 0.19 | 22.7x | 112 | 32% |
| Supertrend period=20, mult=4.8 |
8.2% | -61.9% | 0.45 | 0.13 | 20.0x | 176 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
6.4% | -76.1% | 0.38 | 0.08 | 10.7x | 465 | 49% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
4.8% | -73.4% | 0.32 | 0.06 | 5.9x | 211 | 37% |
| MACD fast=30, slow=53, signal=27 |
1.7% | -72.4% | 0.19 | 0.02 | 1.9x | 283 | 52% |
| Buy and hold | 9.2% | -80.7% | 0.43 | 0.11 | 28.1x | 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 43-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 43-day average falls below the 128-day average