Trend-Following Backtester · Guide · backtest 한국어
equity · GB
C&C Group Plc backtest
10 trend-following strategies were compared on the full daily history of C&C Group Plc. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.3%, MDD -13.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.5%, drawdown -94.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.3%, MDD -13.1%, Sharpe 0.64, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -50.9%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 81.3%p (CAGR 4.3%, MDD -13.1%, exposure 5%).
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=35, threshold=39 |
4.3% | -13.1% | 0.64 | 0.33 | 2.6x | 4 | 5% |
| 볼린저 밴드 돌파 n=19, k=2.9 |
5.4% | -37.6% | 0.56 | 0.14 | 3.2x | 54 | 10% |
| Donchian 채널 돌파 entryN=73, exitN=46 |
6.7% | -50.9% | 0.42 | 0.13 | 4.3x | 34 | 45% |
| SMA 크로스오버 fast=7, slow=102 |
5.8% | -68.4% | 0.37 | 0.08 | 3.5x | 90 | 48% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=8, mult=3 |
4.7% | -51.1% | 0.37 | 0.09 | 2.8x | 58 | 23% |
| ROC 모멘텀 n=93, threshold=0.18 |
4.5% | -39.1% | 0.35 | 0.11 | 2.7x | 122 | 19% |
| EMA 크로스오버 fast=17, slow=70 |
5.4% | -70.7% | 0.35 | 0.08 | 3.2x | 84 | 47% |
| Supertrend period=22, mult=3.6 |
5.0% | -50.5% | 0.33 | 0.10 | 2.9x | 84 | 49% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-2.7% | -89.1% | -0.00 | -0.03 | 0.5x | 294 | 47% |
| MACD fast=17, slow=29, signal=19 |
-3.6% | -91.3% | -0.03 | -0.04 | 0.4x | 290 | 50% |
| Buy and hold | -3.5% | -94.4% | 0.08 | -0.04 | 0.5x | 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, 35-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)