Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Aviva plc backtest
10 trend-following strategies were compared on the full daily history of Aviva plc. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.6%, MDD -52.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.0%, drawdown -87.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -52.0%, Sharpe 0.23, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 2.6%, MDD -52.0%, exposure 57%).
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=67, slow=275 |
2.6% | -52.0% | 0.23 | 0.05 | 2.6x | 38 | 57% |
| EMA 크로스오버 fast=54, slow=211 |
1.0% | -61.1% | 0.14 | 0.02 | 1.4x | 59 | 58% |
| ADX / DI 방향성 period=27, threshold=33 |
0.0% | -5.7% | 0.05 | 0.01 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=113, exitN=46 |
-1.3% | -69.5% | -0.02 | -0.02 | 0.6x | 74 | 36% |
| Keltner 채널 돌파 emaPeriod=95, atrPeriod=27, mult=4 |
-2.1% | -74.0% | -0.10 | -0.03 | 0.5x | 108 | 30% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
-1.1% | -48.6% | -0.10 | -0.02 | 0.6x | 56 | 11% |
| ROC 모멘텀 n=153, threshold=-0.03 |
-3.9% | -92.0% | -0.11 | -0.04 | 0.2x | 379 | 63% |
| MACD fast=21, slow=30, signal=24 |
-5.9% | -94.0% | -0.16 | -0.06 | 0.1x | 429 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.0% | -96.5% | -0.23 | -0.07 | 0.1x | 327 | 54% |
| Supertrend period=27, mult=5 |
-7.6% | -96.3% | -0.32 | -0.08 | 0.0x | 223 | 52% |
| Buy and hold | 2.0% | -87.2% | 0.23 | 0.02 | 2.1x | 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 67-day average price crosses above the 275-day average
- Sell — Sell (to cash) when the 67-day average falls below the 275-day average