Trend-Following Backtester · Guide · backtest 한국어
equity · GB
3i Group plc backtest
10 trend-following strategies were compared on the full daily history of 3i Group plc. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.3%, MDD -39.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.2%, drawdown -89.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.3%, MDD -39.1%, Sharpe 0.47, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 50.3%p (CAGR 10.3%, MDD -39.1%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=49, slow=222 |
10.3% | -39.1% | 0.47 | 0.26 | 23.2x | 28 | 65% |
| SMA 크로스오버 fast=20, slow=199 |
8.0% | -64.7% | 0.41 | 0.12 | 11.8x | 66 | 62% |
| ROC 모멘텀 n=189, threshold=-0.11 |
7.6% | -78.0% | 0.38 | 0.10 | 10.6x | 138 | 76% |
| Donchian 채널 돌파 entryN=102, exitN=77 |
4.3% | -82.6% | 0.29 | 0.05 | 3.8x | 42 | 61% |
| ADX / DI 방향성 period=30, threshold=36 |
0.6% | -6.8% | 0.25 | 0.09 | 1.2x | 6 | 1% |
| Supertrend period=4, mult=4.5 |
-5.3% | -96.8% | -0.00 | -0.05 | 0.2x | 145 | 59% |
| 볼린저 밴드 돌파 n=100, k=2 |
-4.2% | -91.6% | -0.02 | -0.05 | 0.3x | 110 | 42% |
| MACD fast=19, slow=79, signal=18 |
-8.3% | -97.1% | -0.11 | -0.09 | 0.1x | 349 | 49% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-9.1% | -98.4% | -0.13 | -0.09 | 0.0x | 285 | 55% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2.6 |
-11.6% | -99.2% | -0.35 | -0.12 | 0.0x | 177 | 38% |
| Buy and hold | 8.2% | -89.3% | 0.39 | 0.09 | 12.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 222-day EMA
- Sell — Sell when the 49-day EMA falls below the 222-day EMA