Trend-Following Backtester · Guide · backtest 한국어
equity · GB
British American Tobacco p.l.c. backtest
10 trend-following strategies were compared on the full daily history of British American Tobacco p.l.c.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -47.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -65.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -47.7%, Sharpe 0.47, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 18.0%p (CAGR 7.5%, MDD -47.7%, exposure 66%).
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=55, slow=244 |
7.5% | -47.7% | 0.47 | 0.16 | 10.0x | 29 | 66% |
| Donchian 채널 돌파 entryN=89, exitN=117 |
7.3% | -50.2% | 0.45 | 0.15 | 9.2x | 21 | 72% |
| EMA 크로스오버 fast=37, slow=209 |
5.9% | -45.4% | 0.39 | 0.13 | 6.1x | 35 | 67% |
| ROC 모멘텀 n=138, threshold=-0.04 |
4.1% | -61.4% | 0.30 | 0.07 | 3.6x | 182 | 73% |
| Supertrend period=8, mult=5 |
-0.3% | -64.0% | 0.07 | -0.01 | 0.9x | 128 | 57% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-0.2% | -22.6% | -0.00 | -0.01 | 1.0x | 22 | 6% |
| ADX / DI 방향성 period=23, threshold=23 |
-0.9% | -37.0% | -0.09 | -0.02 | 0.7x | 102 | 12% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=19, mult=3.7 |
-0.8% | -30.4% | -0.12 | -0.03 | 0.8x | 46 | 5% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.1% | -80.5% | -0.13 | -0.05 | 0.3x | 291 | 54% |
| MACD fast=25, slow=38, signal=16 |
-4.8% | -82.4% | -0.17 | -0.06 | 0.2x | 380 | 52% |
| Buy and hold | 7.6% | -65.8% | 0.41 | 0.12 | 10.1x | 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 55-day average price crosses above the 244-day average
- Sell — Sell (to cash) when the 55-day average falls below the 244-day average