Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Everplay Group Plc backtest
10 trend-following strategies were compared on the full daily history of Everplay Group Plc. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -15.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.7%, drawdown -82.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 20.6%, MDD -43.5%, Sharpe 0.74, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 1.5%, MDD -15.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.035, maxStep=0.2 |
20.6% | -43.5% | 0.74 | 0.47 | 4.6x | 195 | 50% |
| SMA 크로스오버 fast=76, slow=100 |
19.7% | -34.4% | 0.74 | 0.57 | 4.4x | 16 | 47% |
| ROC 모멘텀 n=83, threshold=0.06 |
17.4% | -36.5% | 0.70 | 0.48 | 3.7x | 55 | 41% |
| Supertrend period=11, mult=0.9 |
12.8% | -38.1% | 0.53 | 0.34 | 2.7x | 175 | 49% |
| EMA 크로스오버 fast=11, slow=213 |
10.6% | -53.8% | 0.49 | 0.20 | 2.3x | 12 | 43% |
| MACD fast=3, slow=28, signal=8 |
10.9% | -59.1% | 0.48 | 0.18 | 2.3x | 239 | 49% |
| 볼린저 밴드 돌파 n=7, k=1.1 |
9.3% | -56.7% | 0.45 | 0.16 | 2.1x | 261 | 39% |
| Donchian 채널 돌파 entryN=95, exitN=33 |
6.3% | -58.4% | 0.36 | 0.11 | 1.7x | 12 | 38% |
| ADX / DI 방향성 period=27, threshold=37 |
1.5% | -15.9% | 0.24 | 0.09 | 1.1x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=20, mult=3.3 |
-1.0% | -45.8% | 0.01 | -0.02 | 0.9x | 16 | 14% |
| Buy and hold | 0.7% | -82.9% | 0.26 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots