Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Johnson Matthey Plc backtest
10 trend-following strategies were compared on the full daily history of Johnson Matthey Plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.5%, drawdown -69.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -56.3%, Sharpe 0.21, 57% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=31, slow=141 |
2.2% | -56.3% | 0.21 | 0.04 | 2.3x | 84 | 57% |
| Donchian 채널 돌파 entryN=42, exitN=91 |
2.1% | -68.8% | 0.21 | 0.03 | 2.2x | 76 | 76% |
| EMA 크로스오버 fast=49, slow=218 |
1.3% | -65.7% | 0.16 | 0.02 | 1.6x | 54 | 61% |
| ROC 모멘텀 n=100, threshold=-0.04 |
0.6% | -65.3% | 0.14 | 0.01 | 1.3x | 332 | 65% |
| ADX / DI 방향성 period=37, threshold=39 |
0.4% | -20.1% | 0.10 | 0.02 | 1.2x | 6 | 4% |
| Supertrend period=16, mult=3 |
-1.2% | -80.0% | 0.05 | -0.01 | 0.6x | 438 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.3% | -93.0% | 0.04 | -0.01 | 0.6x | 314 | 52% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=19, mult=3 |
-0.3% | -61.4% | 0.01 | -0.01 | 0.9x | 166 | 11% |
| MACD fast=22, slow=49, signal=24 |
-2.4% | -88.8% | -0.01 | -0.03 | 0.4x | 378 | 50% |
| 볼린저 밴드 돌파 n=28, k=1.2 |
-2.5% | -91.4% | -0.04 | -0.03 | 0.4x | 402 | 42% |
| Buy and hold | 4.5% | -69.8% | 0.29 | 0.06 | 5.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 31-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 31-day average falls below the 141-day average