Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Drax Group plc backtest
10 trend-following strategies were compared on the full daily history of Drax Group plc. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -13.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.3%, drawdown -88.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -32.9%, Sharpe 0.37, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 55.8%p (CAGR 1.2%, MDD -13.9%, exposure 4%).
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=10, slow=212 |
5.8% | -32.9% | 0.37 | 0.18 | 3.2x | 34 | 48% |
| Donchian 채널 돌파 entryN=92, exitN=57 |
4.8% | -35.9% | 0.34 | 0.13 | 2.6x | 26 | 37% |
| EMA 크로스오버 fast=34, slow=49 |
4.6% | -48.6% | 0.31 | 0.10 | 2.5x | 66 | 52% |
| Supertrend period=9, mult=3.7 |
4.5% | -61.6% | 0.30 | 0.07 | 2.5x | 84 | 55% |
| ADX / DI 방향성 period=35, threshold=11 |
4.1% | -44.7% | 0.30 | 0.09 | 2.3x | 180 | 44% |
| ROC 모멘텀 n=112, threshold=0.05 |
2.7% | -59.8% | 0.23 | 0.05 | 1.7x | 144 | 41% |
| 볼린저 밴드 돌파 n=34, k=3.5 |
1.2% | -13.9% | 0.22 | 0.08 | 1.3x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=8, mult=3.8 |
0.3% | -7.5% | 0.17 | 0.04 | 1.1x | 2 | 0% |
| MACD fast=17, slow=54, signal=17 |
0.5% | -75.8% | 0.13 | 0.01 | 1.1x | 223 | 48% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.3% | -77.5% | 0.05 | -0.02 | 0.8x | 184 | 50% |
| Buy and hold | 1.3% | -88.7% | 0.21 | 0.01 | 1.3x | 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 10-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 10-day average falls below the 212-day average