Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Diageo plc backtest
10 trend-following strategies were compared on the full daily history of Diageo plc. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.1%, MDD -41.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -66.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -48.4%, Sharpe 0.30, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 9.1%, MDD -41.3%, exposure 61%).
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=69, slow=199 |
10.0% | -48.4% | 0.30 | 0.21 | 38.5x | 40 | 59% |
| EMA 크로스오버 fast=52, slow=165 |
9.1% | -41.3% | 0.28 | 0.22 | 27.5x | 52 | 61% |
| ROC 모멘텀 Hold-like · Exposure 98% n=17, threshold=-0.12 |
7.8% | -66.8% | 0.27 | 0.12 | 17.7x | 85 | 98% |
| ADX / DI 방향성 period=49, threshold=29 |
0.6% | -11.2% | 0.22 | 0.05 | 1.2x | 4 | 2% |
| Donchian 채널 돌파 entryN=79, exitN=63 |
6.0% | -51.7% | 0.22 | 0.12 | 9.2x | 58 | 51% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=22, mult=4 |
5.3% | -22.3% | 0.19 | 0.24 | 7.1x | 30 | 8% |
| 볼린저 밴드 돌파 n=38, k=3.3 |
4.5% | -26.5% | 0.18 | 0.17 | 5.4x | 31 | 7% |
| Supertrend period=25, mult=4.5 |
3.1% | -68.5% | 0.17 | 0.05 | 3.2x | 127 | 60% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.8% | -94.6% | 0.07 | -0.02 | 0.5x | 354 | 55% |
| MACD fast=9, slow=23, signal=10 |
-11.2% | -99.8% | -0.13 | -0.11 | 0.0x | 889 | 50% |
| Buy and hold | 9.7% | -66.8% | 0.30 | 0.14 | 33.9x | 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 69-day average price crosses above the 199-day average
- Sell — Sell (to cash) when the 69-day average falls below the 199-day average