Trend-Following Backtester · Guide · backtest 한국어
equity · GB
BAE Systems plc backtest
10 trend-following strategies were compared on the full daily history of BAE Systems plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -94.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.4%, MDD -94.3%, Sharpe 0.63, 62% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=49, slow=214 |
7.4% | -94.3% | 0.63 | 0.08 | 15.2x | 50 | 62% |
| EMA 크로스오버 fast=59, slow=132 |
5.8% | -94.3% | 0.63 | 0.06 | 8.7x | 56 | 62% |
| Donchian 채널 돌파 entryN=98, exitN=77 |
-16.1% | -100.0% | 0.50 | -0.16 | 0.0x | 67 | 55% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
2.3% | -34.8% | 0.28 | 0.07 | 2.4x | 28 | 9% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=36, mult=3.8 |
2.4% | -56.7% | 0.24 | 0.04 | 2.4x | 108 | 22% |
| ROC 모멘텀 n=92, threshold=0.06 |
-61.5% | -100.0% | 0.18 | -0.62 | 0.0x | 436 | 47% |
| ADX / DI 방향성 period=24, threshold=36 |
0.0% | -18.1% | 0.02 | 0.00 | 1.0x | 12 | 1% |
| MACD fast=20, slow=45, signal=32 |
-45.1% | -100.0% | -0.37 | -0.45 | 0.0x | 357 | 51% |
| Supertrend period=13, mult=4.2 |
-67.6% | -100.0% | -0.51 | -0.68 | 0.0x | 224 | 58% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-62.2% | -100.0% | -0.54 | -0.62 | 0.0x | 527 | 54% |
| Buy and hold | 8.3% | -94.3% | 0.63 | 0.09 | 20.6x | 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 49-day average price crosses above the 214-day average
- Sell — Sell (to cash) when the 49-day average falls below the 214-day average