Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Informa Plc backtest
10 trend-following strategies were compared on the full daily history of Informa Plc. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.2%, MDD -38.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -84.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.7%, MDD -62.0%, Sharpe 0.42, 81% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR 5.2%, MDD -38.8%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=110, threshold=-0.1 |
7.7% | -62.0% | 0.42 | 0.12 | 7.8x | 123 | 81% |
| SMA 크로스오버 fast=15, slow=116 |
5.5% | -41.5% | 0.35 | 0.13 | 4.3x | 95 | 60% |
| EMA 크로스오버 fast=12, slow=155 |
5.2% | -38.8% | 0.34 | 0.13 | 4.0x | 77 | 62% |
| Donchian 채널 돌파 entryN=26, exitN=77 |
5.5% | -53.2% | 0.33 | 0.10 | 4.4x | 61 | 81% |
| Supertrend period=8, mult=2.3 |
3.9% | -81.7% | 0.28 | 0.05 | 2.9x | 299 | 55% |
| ADX / DI 방향성 period=35, threshold=34 |
0.8% | -20.0% | 0.25 | 0.04 | 1.3x | 6 | 2% |
| 볼린저 밴드 돌파 n=37, k=1.2 |
2.3% | -59.3% | 0.21 | 0.04 | 1.9x | 230 | 45% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=19, mult=1.4 |
2.1% | -74.0% | 0.20 | 0.03 | 1.8x | 257 | 40% |
| MACD fast=18, slow=38, signal=10 |
-0.9% | -84.4% | 0.07 | -0.01 | 0.8x | 412 | 50% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-1.6% | -86.3% | 0.05 | -0.02 | 0.6x | 383 | 56% |
| Buy and hold | 4.9% | -84.6% | 0.31 | 0.06 | 3.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 110-day return is greater than -10%
- Sell — Sell when the 110-day return drops to -10% or below