Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Compass Group PLC backtest
10 trend-following strategies were compared on the full daily history of Compass Group PLC. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.0%, MDD -40.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.7%, drawdown -82.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -47.5%, Sharpe 0.44, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 35.2%p (CAGR 5.0%, MDD -40.2%, exposure 58%).
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=50, slow=195 |
6.4% | -47.5% | 0.44 | 0.13 | 5.2x | 31 | 61% |
| EMA 크로스오버 fast=54, slow=169 |
6.0% | -42.7% | 0.41 | 0.14 | 4.7x | 29 | 65% |
| Donchian 채널 돌파 entryN=96, exitN=76 |
5.0% | -40.2% | 0.38 | 0.12 | 3.6x | 27 | 58% |
| ROC 모멘텀 n=189, threshold=-0.09 |
3.6% | -59.3% | 0.28 | 0.06 | 2.6x | 115 | 78% |
| ADX / DI 방향성 period=23, threshold=34 |
0.5% | -7.1% | 0.18 | 0.07 | 1.1x | 14 | 2% |
| Supertrend period=16, mult=5 |
1.1% | -56.8% | 0.15 | 0.02 | 1.4x | 67 | 62% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
0.4% | -13.7% | 0.11 | 0.03 | 1.1x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=13, mult=3.7 |
0.0% | -19.9% | 0.03 | 0.00 | 1.0x | 12 | 3% |
| MACD fast=23, slow=46, signal=18 |
-7.7% | -91.2% | -0.32 | -0.08 | 0.1x | 298 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-11.7% | -96.7% | -0.49 | -0.12 | 0.0x | 509 | 54% |
| Buy and hold | 4.7% | -82.7% | 0.30 | 0.06 | 3.4x | 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 50-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 50-day average falls below the 195-day average