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 4.7%, MDD -33.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.9%, drawdown -94.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.7%, MDD -33.2%, Sharpe 0.50, 16% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.2%, 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 4.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=3.2 |
4.7% | -33.2% | 0.50 | 0.14 | 5.4x | 137 | 16% |
| Donchian 채널 돌파 entryN=128, exitN=69 |
5.9% | -48.6% | 0.42 | 0.12 | 8.4x | 45 | 42% |
| 볼린저 밴드 돌파 n=24, k=2.9 |
3.9% | -35.1% | 0.42 | 0.11 | 4.0x | 83 | 13% |
| EMA 크로스오버 fast=49, slow=254 |
6.2% | -57.7% | 0.40 | 0.11 | 9.3x | 35 | 56% |
| SMA 크로스오버 fast=57, slow=183 |
5.2% | -55.4% | 0.35 | 0.09 | 6.4x | 53 | 54% |
| ROC 모멘텀 n=147, threshold=-0.02 |
3.0% | -78.2% | 0.24 | 0.04 | 2.9x | 293 | 59% |
| ADX / DI 방향성 period=24, threshold=42 |
0.3% | -8.4% | 0.22 | 0.03 | 1.1x | 6 | 1% |
| Supertrend period=21, mult=4.8 |
1.6% | -77.5% | 0.18 | 0.02 | 1.8x | 199 | 51% |
| Parabolic SAR step=0.005, maxStep=0.04 |
0.1% | -91.2% | 0.12 | 0.00 | 1.1x | 255 | 52% |
| MACD fast=19, slow=50, signal=18 |
-2.8% | -96.0% | -0.01 | -0.03 | 0.4x | 391 | 51% |
| Buy and hold | 2.9% | -94.2% | 0.25 | 0.03 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average