Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Coats Group plc backtest
10 trend-following strategies were compared on the full daily history of Coats Group plc. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -58.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR -9.4%, drawdown -99.8%).
Sharpe leader (same as main): Supertrend — CAGR -24.8%, MDD -100.0%, Sharpe 0.55, 53% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 1.1%, MDD -58.5%, exposure 9%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.4%p lower than buy and hold, while drawdown improves by -0.2%p (CAGR 1.1%, MDD -58.5%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=4.5 |
-24.8% | -100.0% | 0.55 | -0.25 | 0.0x | 235 | 53% |
| SMA 크로스오버 fast=90, slow=117 |
-2.3% | -97.6% | 0.48 | -0.02 | 0.4x | 148 | 51% |
| ROC 모멘텀 Hold-like · Exposure 99% n=1, threshold=-0.13 |
-37.3% | -100.0% | 0.47 | -0.37 | 0.0x | 267 | 99% |
| Donchian 채널 돌파 entryN=78, exitN=102 |
-28.2% | -100.0% | 0.30 | -0.28 | 0.0x | 86 | 54% |
| EMA 크로스오버 fast=55, slow=172 |
-18.1% | -100.0% | 0.27 | -0.18 | 0.0x | 80 | 52% |
| ADX / DI 방향성 period=33, threshold=27 |
1.1% | -58.5% | 0.15 | 0.02 | 1.5x | 38 | 9% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
0.4% | -69.5% | 0.12 | 0.01 | 1.2x | 119 | 13% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=8, mult=4 |
0.2% | -69.1% | 0.09 | 0.00 | 1.1x | 74 | 7% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-50.1% | -100.0% | -0.10 | -0.50 | 0.0x | 321 | 49% |
| MACD fast=20, slow=32, signal=16 |
-64.9% | -100.0% | -0.30 | -0.65 | 0.0x | 521 | 51% |
| Buy and hold | -9.4% | -99.8% | 0.70 | -0.09 | 0.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)