Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Advanced Medical Solutions Group plc backtest
10 trend-following strategies were compared on the full daily history of Advanced Medical Solutions Group plc. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.7%, MDD -63.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.5%, drawdown -98.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.7%, MDD -63.9%, Sharpe 0.51, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 10.7%, MDD -63.9%, exposure 55%).
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=59, slow=213 |
10.7% | -63.9% | 0.51 | 0.17 | 24.6x | 31 | 55% |
| EMA 크로스오버 fast=53, slow=210 |
10.0% | -64.2% | 0.50 | 0.16 | 20.4x | 33 | 53% |
| Donchian 채널 돌파 entryN=108, exitN=37 |
5.6% | -64.4% | 0.37 | 0.09 | 5.6x | 49 | 34% |
| ADX / DI 방향성 period=28, threshold=13 |
4.9% | -73.8% | 0.31 | 0.07 | 4.5x | 279 | 46% |
| ROC 모멘텀 n=144, threshold=0.01 |
4.3% | -80.2% | 0.29 | 0.05 | 3.8x | 267 | 53% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
2.4% | -52.9% | 0.22 | 0.05 | 2.1x | 76 | 24% |
| Parabolic SAR step=0.02, maxStep=0.38 |
2.2% | -88.1% | 0.21 | 0.03 | 2.0x | 575 | 49% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=3.8 |
1.4% | -67.6% | 0.17 | 0.02 | 1.6x | 59 | 20% |
| Supertrend period=11, mult=1.2 |
0.8% | -87.4% | 0.16 | 0.01 | 1.3x | 573 | 51% |
| MACD fast=18, slow=47, signal=16 |
-4.6% | -94.8% | -0.02 | -0.05 | 0.2x | 376 | 49% |
| Buy and hold | 3.5% | -98.0% | 0.28 | 0.04 | 2.9x | 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 59-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 59-day average falls below the 213-day average