Trend-Following Backtester · Guide · backtest 한국어

equity · GB

Hays plc backtest

10 trend-following strategies were compared on the full daily history of Hays plc. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.8%, MDD -33.2%).

Data 1989-10-25 ~ 2026-07-31daily bars 9,423 (36.8 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

6 of 10 beat buy and hold (CAGR 2.1%, drawdown -94.2%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.8%, MDD -33.2%, Sharpe 0.43, 16% exposure.

CAGR reference leader: EMA 크로스오버 — CAGR 5.9%, MDD -57.7%, exposure 56%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 61.0%p (CAGR 3.8%, MDD -33.2%, exposure 16%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=17, atrPeriod=26, mult=3.2
3.8%-33.2%0.430.124.0x13716%
EMA 크로스오버
fast=49, slow=254
5.9%-57.7%0.380.108.2x3456%
Donchian 채널 돌파
entryN=128, exitN=69
5.1%-48.6%0.370.106.2x4542%
볼린저 밴드 돌파
n=24, k=2.9
3.0%-35.1%0.340.093.0x8312%
SMA 크로스오버
fast=57, slow=183
4.8%-55.4%0.330.095.7x5254%
ADX / DI 방향성
period=24, threshold=42
0.3%-8.4%0.220.041.1x61%
ROC 모멘텀
n=147, threshold=-0.02
2.1%-78.2%0.200.032.2x29359%
Supertrend
period=21, mult=4.8
0.8%-77.5%0.140.011.3x19950%
Parabolic SAR
step=0.005, maxStep=0.04
-0.7%-91.2%0.08-0.010.8x25552%
MACD
fast=19, slow=50, signal=18
-3.6%-96.0%-0.05-0.040.3x39151%
Buy and hold2.1%-94.2%0.230.022.1x1100%
1x 10x 1990 1995 2000 2005 2010 2015 2020 2025 EMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), EMA 크로스오버 (CAGR reference), Buy and hold.
0% -24% -47% -71% -94% 1990 1995 2000 2005 2010 2015 2020 2025 Buy and holdEMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -33.2% (1998-11-27 → 1999-10-15), recovered after 8,077 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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