Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Caledonia Investments PLC backtest

10 trend-following strategies were compared on the full daily history of Caledonia Investments PLC. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 1972-09-29 ~ 2026-07-31daily bars 13,876 (53.8 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 17.1%, drawdown -94.3%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -55.3%, Sharpe 0.39, 38% exposure.

CAGR reference leader: Parabolic SAR — CAGR 11.4%, MDD -88.3%, exposure 54%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=36, threshold=20
5.1%-55.3%0.390.0914.4x16438%
Keltner 채널 돌파
emaPeriod=25, atrPeriod=12, mult=3.9
3.9%-61.8%0.340.068.0x15229%
볼린저 밴드 돌파
n=49, k=3.1
2.5%-39.8%0.280.063.7x9621%
Donchian 채널 돌파
entryN=93, exitN=43
2.9%-52.0%0.260.064.8x13543%
ROC 모멘텀
n=143, threshold=0.07
2.6%-71.2%0.240.044.0x28041%
Supertrend
period=23, mult=5
2.6%-63.8%0.230.043.9x23958%
SMA 크로스오버
fast=33, slow=88
-0.1%-92.7%0.18-0.000.9x17560%
EMA 크로스오버
fast=67, slow=242
10.6%-95.3%0.140.11231.3x6964%
MACD
fast=14, slow=23, signal=18
8.6%-78.6%0.140.1184.9x71348%
Parabolic SAR
step=0.02, maxStep=0.3
11.4%-88.3%0.140.13334.6x72154%
Buy and hold17.1%-94.3%0.150.184996.1x1100%
0.1 1x 10x 100x 1,000x 1973 1980 1987 1994 2001 2008 2015 2022 Parabolic SARADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Parabolic SAR (CAGR reference), Buy and hold.
0% -24% -47% -71% -94% 1973 1980 1987 1994 2001 2008 2015 2022 Buy and holdParabolic SARADX / DI 방향성
ADX / DI 방향성 maximum drawdown -55.3% (1987-04-29 → 1992-06-01), recovered after 4,068 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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