Trend-Following Backtester · Guide · backtest 한국어

equity · GB

ICG plc backtest

10 trend-following strategies were compared on the full daily history of ICG plc. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.0%, MDD -52.3%).

Data 1994-05-25 ~ 2026-07-31daily bars 8,228 (32.2 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 9.2%, drawdown -89.7%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.9%, MDD -25.3%, Sharpe 0.76, 22% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 13.6%, MDD -70.7%, exposure 83%.

Return/drawdown alternative: Supertrend — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 64.4%p (CAGR 10.0%, MDD -52.3%, exposure 56%).

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
ADX / DI 방향성
period=24, threshold=27
6.9%-25.3%0.760.278.5x9422%
볼린저 밴드 돌파
n=32, k=3.5
4.6%-17.7%0.660.264.3x3010%
Donchian 채널 돌파
entryN=10, exitN=53
13.6%-70.7%0.600.1960.5x11983%
Parabolic SAR
step=0.015, maxStep=0.12
10.5%-66.0%0.560.1624.8x46355%
Supertrend
period=22, mult=2.7
10.0%-52.3%0.540.1921.7x29956%
Keltner 채널 돌파
emaPeriod=28, atrPeriod=15, mult=3.7
4.7%-31.2%0.470.154.3x9622%
EMA 크로스오버
fast=11, slow=15
7.4%-59.7%0.430.129.8x32359%
MACD
fast=15, slow=30, signal=12
7.2%-74.3%0.410.109.2x44550%
SMA 크로스오버
fast=67, slow=174
6.1%-70.2%0.370.096.6x5660%
ROC 모멘텀
n=43, threshold=-0.04
6.0%-79.0%0.360.086.6x32572%
Buy and hold9.2%-89.7%0.430.1016.8x1100%
1x 10x 1995 1999 2003 2007 2011 2015 2019 2023 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -22% -45% -67% -90% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -25.3% (2002-05-15 → 2006-11-27), recovered after 1,730 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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