Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Barclays PLC backtest
10 trend-following strategies were compared on the full daily history of Barclays 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 5.7%, MDD -72.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.5%, drawdown -93.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -72.9%, Sharpe 0.36, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 20.6%p (CAGR 5.7%, MDD -72.9%, exposure 56%).
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=36, slow=140 |
5.7% | -72.9% | 0.36 | 0.08 | 8.3x | 77 | 56% |
| Keltner 채널 돌파 emaPeriod=125, atrPeriod=25, mult=2.4 |
3.9% | -48.4% | 0.30 | 0.08 | 4.3x | 135 | 46% |
| Donchian 채널 돌파 entryN=11, exitN=68 |
4.4% | -84.2% | 0.29 | 0.05 | 5.2x | 133 | 82% |
| 볼린저 밴드 돌파 n=32, k=3.1 |
2.3% | -36.9% | 0.27 | 0.06 | 2.4x | 46 | 8% |
| Supertrend period=23, mult=4 |
3.5% | -64.9% | 0.26 | 0.05 | 3.7x | 233 | 56% |
| EMA 크로스오버 fast=31, slow=213 |
3.4% | -79.4% | 0.26 | 0.04 | 3.6x | 65 | 60% |
| ROC 모멘텀 n=131, threshold=0.03 |
2.7% | -77.1% | 0.23 | 0.03 | 2.7x | 317 | 52% |
| ADX / DI 방향성 period=31, threshold=29 |
0.7% | -11.1% | 0.19 | 0.06 | 1.3x | 14 | 2% |
| MACD fast=18, slow=49, signal=19 |
-4.4% | -97.1% | -0.03 | -0.04 | 0.2x | 444 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.6% | -96.8% | -0.09 | -0.06 | 0.1x | 688 | 52% |
| Buy and hold | 5.5% | -93.5% | 0.32 | 0.06 | 7.6x | 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 36-day average price crosses above the 140-day average
- Sell — Sell (to cash) when the 36-day average falls below the 140-day average