Trend-Following Backtester · Guide · backtest 한국어
equity · GB
FirstGroup plc backtest
10 trend-following strategies were compared on the full daily history of FirstGroup plc. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -7.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.6%, drawdown -95.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -7.5%, Sharpe 0.46, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.0%, MDD -90.5%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 88.3%p (CAGR 1.6%, MDD -7.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=38 |
1.6% | -7.5% | 0.46 | 0.22 | 1.7x | 12 | 2% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=13, mult=3 |
2.0% | -23.7% | 0.36 | 0.08 | 1.8x | 50 | 5% |
| SMA 크로스오버 fast=45, slow=119 |
3.0% | -90.5% | 0.24 | 0.03 | 2.5x | 67 | 52% |
| EMA 크로스오버 fast=46, slow=153 |
2.9% | -81.6% | 0.24 | 0.04 | 2.4x | 54 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=74 |
2.5% | -82.1% | 0.23 | 0.03 | 2.2x | 75 | 73% |
| ROC 모멘텀 n=160, threshold=0 |
1.9% | -72.4% | 0.19 | 0.03 | 1.8x | 219 | 52% |
| Supertrend period=15, mult=5 |
1.7% | -83.3% | 0.19 | 0.02 | 1.7x | 103 | 52% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
1.2% | -27.1% | 0.18 | 0.04 | 1.4x | 42 | 9% |
| MACD fast=11, slow=29, signal=6 |
-4.3% | -91.5% | -0.04 | -0.05 | 0.3x | 689 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-5.1% | -95.6% | -0.07 | -0.05 | 0.2x | 571 | 54% |
| Buy and hold | 1.6% | -95.7% | 0.24 | 0.02 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)