Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ConvaTec Group Plc backtest
10 trend-following strategies were compared on the full daily history of ConvaTec 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 2.7%, MDD -18.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.1%, drawdown -65.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -33.3%, Sharpe 0.33, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 2.7%, MDD -18.2%, exposure 12%).
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=91, slow=114 |
4.8% | -33.3% | 0.33 | 0.15 | 1.6x | 28 | 51% |
| Donchian 채널 돌파 entryN=157, exitN=16 |
2.7% | -18.2% | 0.31 | 0.15 | 1.3x | 14 | 12% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=1.8 |
0.5% | -43.6% | 0.11 | 0.01 | 1.0x | 45 | 34% |
| Supertrend period=35, mult=3.4 |
-0.7% | -45.0% | 0.08 | -0.02 | 0.9x | 42 | 52% |
| 볼린저 밴드 돌파 n=31, k=2.6 |
-0.3% | -36.9% | 0.03 | -0.01 | 1.0x | 39 | 23% |
| MACD fast=14, slow=34, signal=16 |
-2.0% | -53.3% | 0.02 | -0.04 | 0.8x | 115 | 51% |
| ROC 모멘텀 n=79, threshold=0.08 |
-1.5% | -44.1% | -0.04 | -0.03 | 0.9x | 80 | 29% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-4.2% | -63.2% | -0.11 | -0.07 | 0.7x | 213 | 51% |
| ADX / DI 방향성 period=38, threshold=26 |
-0.7% | -14.3% | -0.12 | -0.05 | 0.9x | 6 | 2% |
| EMA 크로스오버 fast=28, slow=42 |
-5.1% | -57.5% | -0.13 | -0.09 | 0.6x | 45 | 50% |
| Buy and hold | -0.1% | -65.5% | 0.16 | -0.00 | 1.0x | 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 91-day average price crosses above the 114-day average
- Sell — Sell (to cash) when the 91-day average falls below the 114-day average