Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Grafton Group Plc backtest
10 trend-following strategies were compared on the full daily history of Grafton Group Plc. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.5%, MDD -34.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.2%, drawdown -90.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -34.4%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR 10.5%, MDD -34.4%, exposure 55%).
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=12, slow=83 |
10.5% | -34.4% | 0.54 | 0.30 | 11.0x | 83 | 55% |
| EMA 크로스오버 fast=32, slow=46 |
9.1% | -45.1% | 0.49 | 0.20 | 8.1x | 83 | 55% |
| ADX / DI 방향성 period=22, threshold=26 |
3.9% | -24.2% | 0.39 | 0.16 | 2.5x | 50 | 15% |
| Donchian 채널 돌파 entryN=38, exitN=44 |
6.7% | -59.6% | 0.39 | 0.11 | 4.8x | 63 | 58% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=3.3 |
5.0% | -31.7% | 0.38 | 0.16 | 3.2x | 57 | 24% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
4.6% | -53.0% | 0.32 | 0.09 | 2.9x | 117 | 43% |
| ROC 모멘텀 n=66, threshold=0.04 |
2.8% | -59.9% | 0.24 | 0.05 | 1.9x | 251 | 47% |
| Supertrend period=28, mult=3.5 |
1.9% | -53.8% | 0.20 | 0.04 | 1.6x | 127 | 55% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-6.1% | -85.6% | -0.10 | -0.07 | 0.2x | 529 | 52% |
| MACD fast=12, slow=31, signal=15 |
-8.1% | -90.9% | -0.19 | -0.09 | 0.1x | 390 | 51% |
| Buy and hold | 5.2% | -90.3% | 0.32 | 0.06 | 3.4x | 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 12-day average price crosses above the 83-day average
- Sell — Sell (to cash) when the 12-day average falls below the 83-day average