Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Bloomsbury Publishing Plc backtest
10 trend-following strategies were compared on the full daily history of Bloomsbury Publishing Plc. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.8%, MDD -54.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.4%, drawdown -76.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.1%, MDD -20.2%, Sharpe 0.58, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.8%, MDD -54.7%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.4%p lower than buy and hold, while drawdown improves by 56.6%p (CAGR 9.8%, MDD -54.7%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=41, threshold=27 |
6.1% | -20.2% | 0.58 | 0.30 | 6.6x | 28 | 12% |
| 볼린저 밴드 돌파 n=53, k=2.9 |
7.5% | -31.2% | 0.54 | 0.24 | 10.2x | 60 | 21% |
| Donchian 채널 돌파 entryN=115, exitN=30 |
8.7% | -46.2% | 0.53 | 0.19 | 14.5x | 54 | 32% |
| SMA 크로스오버 fast=46, slow=231 |
9.8% | -54.7% | 0.51 | 0.18 | 20.2x | 43 | 54% |
| Supertrend period=21, mult=4.5 |
8.0% | -67.3% | 0.45 | 0.12 | 11.8x | 125 | 51% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=26, mult=3.7 |
5.7% | -39.3% | 0.44 | 0.14 | 5.9x | 74 | 21% |
| EMA 크로스오버 fast=58, slow=151 |
8.1% | -61.9% | 0.44 | 0.13 | 12.1x | 47 | 56% |
| ROC 모멘텀 n=141, threshold=0 |
3.1% | -85.3% | 0.24 | 0.04 | 2.7x | 251 | 55% |
| MACD fast=34, slow=51, signal=29 |
2.1% | -77.3% | 0.20 | 0.03 | 2.0x | 226 | 50% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-2.9% | -96.1% | -0.01 | -0.03 | 0.4x | 733 | 52% |
| Buy and hold | 10.4% | -76.8% | 0.47 | 0.14 | 24.4x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 41-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)