Trend-Following Backtester · Guide · backtest 한국어
equity · GB
J D Wetherspoon plc backtest
10 trend-following strategies were compared on the full daily history of J D Wetherspoon plc. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.3%, MDD -44.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.3%, drawdown -77.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.8%, MDD -11.8%, Sharpe 0.99, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.3%, MDD -44.2%, exposure 59%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 65.7%p (CAGR 11.3%, MDD -44.2%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=3.7 |
5.8% | -11.8% | 0.99 | 0.49 | 6.6x | 64 | 10% |
| SMA 크로스오버 fast=31, slow=128 |
11.3% | -44.2% | 0.62 | 0.26 | 37.1x | 69 | 59% |
| EMA 크로스오버 fast=45, slow=58 |
10.9% | -54.4% | 0.61 | 0.20 | 33.2x | 91 | 61% |
| ADX / DI 방향성 period=34, threshold=20 |
6.5% | -39.7% | 0.60 | 0.16 | 8.3x | 96 | 26% |
| Donchian 채널 돌파 entryN=79, exitN=62 |
10.5% | -49.2% | 0.60 | 0.21 | 29.2x | 55 | 54% |
| ROC 모멘텀 n=120, threshold=0.03 |
10.1% | -51.9% | 0.58 | 0.19 | 25.6x | 191 | 56% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
3.5% | -24.7% | 0.52 | 0.14 | 3.2x | 37 | 11% |
| Supertrend period=28, mult=5 |
8.2% | -51.6% | 0.47 | 0.16 | 14.4x | 125 | 59% |
| Parabolic SAR step=0.02, maxStep=0.28 |
1.6% | -93.9% | 0.18 | 0.02 | 1.7x | 693 | 52% |
| MACD fast=24, slow=38, signal=7 |
0.9% | -90.4% | 0.15 | 0.01 | 1.4x | 489 | 49% |
| Buy and hold | 10.3% | -77.5% | 0.46 | 0.13 | 27.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average