Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Currys PLC backtest
10 trend-following strategies were compared on the full daily history of Currys PLC. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -10.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.4%, drawdown -91.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.5%, MDD -48.4%, Sharpe 0.58, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.0%, MDD -67.1%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.9%p higher than buy and hold, while drawdown improves by 42.9%p (CAGR 0.9%, MDD -10.5%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=188 |
11.5% | -48.4% | 0.58 | 0.24 | 6.3x | 9 | 49% |
| ROC 모멘텀 n=191, threshold=0.06 |
10.3% | -47.5% | 0.56 | 0.22 | 5.3x | 41 | 45% |
| SMA 크로스오버 fast=64, slow=155 |
12.0% | -67.1% | 0.55 | 0.18 | 6.7x | 19 | 52% |
| 볼린저 밴드 돌파 n=37, k=3 |
3.5% | -40.9% | 0.36 | 0.09 | 1.8x | 30 | 14% |
| Donchian 채널 돌파 entryN=114, exitN=44 |
5.3% | -42.9% | 0.35 | 0.12 | 2.4x | 26 | 39% |
| Supertrend period=18, mult=4.8 |
3.9% | -77.0% | 0.28 | 0.05 | 1.9x | 46 | 54% |
| ADX / DI 방향성 period=37, threshold=30 |
0.9% | -10.5% | 0.26 | 0.09 | 1.2x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=21, mult=3 |
1.5% | -67.1% | 0.18 | 0.02 | 1.3x | 50 | 22% |
| MACD fast=13, slow=22, signal=7 |
-4.9% | -84.3% | -0.01 | -0.06 | 0.4x | 332 | 50% |
| Parabolic SAR step=0.045, maxStep=0.2 |
-5.6% | -86.0% | -0.04 | -0.07 | 0.4x | 548 | 50% |
| Buy and hold | -1.4% | -91.3% | 0.18 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 188-day EMA
- Sell — Sell when the 53-day EMA falls below the 188-day EMA