Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Halfords Group Plc backtest
10 trend-following strategies were compared on the full daily history of Halfords Group Plc. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.5%, MDD -22.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -90.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.7%, MDD -25.7%, Sharpe 0.43, 14% exposure.
CAGR reference leader: Supertrend — CAGR 5.2%, MDD -51.5%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 65.1%p (CAGR 0.5%, MDD -22.7%, exposure 5%).
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=61, threshold=18 |
4.7% | -25.7% | 0.43 | 0.18 | 2.7x | 23 | 14% |
| Supertrend period=23, mult=4.9 |
5.2% | -51.5% | 0.32 | 0.10 | 3.1x | 57 | 46% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=3.8 |
2.3% | -29.7% | 0.25 | 0.08 | 1.7x | 25 | 8% |
| Donchian 채널 돌파 entryN=40, exitN=26 |
1.5% | -53.1% | 0.18 | 0.03 | 1.4x | 73 | 42% |
| ROC 모멘텀 n=42, threshold=0.17 |
1.6% | -49.9% | 0.17 | 0.03 | 1.4x | 119 | 11% |
| SMA 크로스오버 fast=12, slow=106 |
0.5% | -69.8% | 0.14 | 0.01 | 1.1x | 83 | 48% |
| EMA 크로스오버 fast=26, slow=53 |
0.1% | -70.4% | 0.13 | 0.00 | 1.0x | 81 | 49% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
0.5% | -22.7% | 0.12 | 0.02 | 1.1x | 21 | 5% |
| MACD fast=12, slow=30, signal=12 |
-5.1% | -86.6% | -0.06 | -0.06 | 0.3x | 340 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-9.0% | -91.3% | -0.21 | -0.10 | 0.1x | 401 | 51% |
| Buy and hold | -0.4% | -90.8% | 0.19 | -0.00 | 0.9x | 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, 61-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)