Trend-Following Backtester · Guide · backtest 한국어
equity · GB
James Halstead plc backtest
10 trend-following strategies were compared on the full daily history of James Halstead plc. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.4%, MDD -36.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.6%, drawdown -63.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.5%, MDD -15.4%, Sharpe 0.78, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.4%, MDD -36.5%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 47.9%p (CAGR 9.4%, MDD -36.5%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=31 |
4.5% | -15.4% | 0.78 | 0.29 | 5.4x | 28 | 15% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=4 |
5.5% | -17.0% | 0.77 | 0.32 | 7.6x | 64 | 23% |
| SMA 크로스오버 fast=58, slow=185 |
9.4% | -36.5% | 0.59 | 0.26 | 30.1x | 42 | 58% |
| Donchian 채널 돌파 entryN=94, exitN=88 |
9.3% | -49.7% | 0.59 | 0.19 | 30.0x | 38 | 60% |
| EMA 크로스오버 fast=17, slow=265 |
9.3% | -38.9% | 0.59 | 0.24 | 29.4x | 48 | 59% |
| Supertrend period=34, mult=5 |
9.0% | -48.2% | 0.55 | 0.19 | 26.7x | 143 | 62% |
| 볼린저 밴드 돌파 n=41, k=3.2 |
3.2% | -48.9% | 0.40 | 0.07 | 3.3x | 70 | 18% |
| ROC 모멘텀 n=129, threshold=0.05 |
3.9% | -79.3% | 0.32 | 0.05 | 4.3x | 284 | 49% |
| Parabolic SAR step=0.01, maxStep=0.1 |
2.6% | -86.5% | 0.23 | 0.03 | 2.7x | 400 | 54% |
| MACD fast=18, slow=42, signal=16 |
-2.8% | -94.3% | -0.07 | -0.03 | 0.3x | 448 | 48% |
| Buy and hold | 7.6% | -63.2% | 0.41 | 0.12 | 16.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)