Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Intertek Group plc backtest
10 trend-following strategies were compared on the full daily history of Intertek Group plc. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -44.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.7%, MDD -63.8%, Sharpe 0.43, 66% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=58, slow=254 |
6.7% | -63.8% | 0.43 | 0.10 | 4.8x | 27 | 66% |
| SMA 크로스오버 fast=43, slow=69 |
5.9% | -58.7% | 0.41 | 0.10 | 4.0x | 85 | 58% |
| Donchian 채널 돌파 entryN=83, exitN=57 |
4.6% | -61.7% | 0.36 | 0.07 | 3.0x | 45 | 50% |
| ADX / DI 방향성 period=39, threshold=18 |
2.7% | -26.9% | 0.31 | 0.10 | 1.9x | 65 | 22% |
| 볼린저 밴드 돌파 n=62, k=3.4 |
1.1% | -8.9% | 0.29 | 0.12 | 1.3x | 8 | 5% |
| MACD fast=24, slow=59, signal=29 |
3.2% | -51.3% | 0.27 | 0.06 | 2.2x | 186 | 50% |
| ROC 모멘텀 n=140, threshold=0.14 |
2.0% | -49.0% | 0.22 | 0.04 | 1.6x | 161 | 30% |
| Supertrend period=9, mult=4.5 |
2.0% | -49.8% | 0.20 | 0.04 | 1.6x | 105 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=16, mult=3.2 |
0.7% | -36.5% | 0.12 | 0.02 | 1.2x | 89 | 34% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.4% | -66.8% | 0.07 | -0.01 | 0.9x | 311 | 56% |
| Buy and hold | 11.3% | -44.4% | 0.55 | 0.26 | 13.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 254-day EMA
- Sell — Sell when the 58-day EMA falls below the 254-day EMA