Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Johnson Service Group PLC backtest
10 trend-following strategies were compared on the full daily history of Johnson Service Group PLC. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.9%, MDD -32.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.7%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.9%, MDD -32.2%, Sharpe 0.63, 32% exposure.
CAGR reference leader: Supertrend — CAGR 11.9%, MDD -53.3%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 66.7%p (CAGR 9.9%, MDD -32.2%, exposure 32%).
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=28, threshold=21 |
9.9% | -32.2% | 0.63 | 0.31 | 36.8x | 148 | 32% |
| Supertrend period=7, mult=4.4 |
11.9% | -53.3% | 0.62 | 0.22 | 71.3x | 136 | 55% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=14, mult=4 |
5.6% | -36.0% | 0.54 | 0.16 | 8.0x | 70 | 20% |
| Parabolic SAR step=0.01, maxStep=0.02 |
8.8% | -47.5% | 0.51 | 0.19 | 25.1x | 184 | 53% |
| Donchian 채널 돌파 entryN=33, exitN=22 |
8.3% | -48.0% | 0.48 | 0.17 | 20.6x | 140 | 52% |
| SMA 크로스오버 fast=3, slow=134 |
7.2% | -49.9% | 0.44 | 0.14 | 14.0x | 143 | 55% |
| EMA 크로스오버 fast=11, slow=78 |
6.9% | -54.8% | 0.43 | 0.13 | 12.7x | 133 | 55% |
| ROC 모멘텀 n=56, threshold=-0.08 |
6.4% | -70.2% | 0.37 | 0.09 | 10.5x | 245 | 78% |
| 볼린저 밴드 돌파 n=38, k=1.5 |
5.3% | -69.5% | 0.36 | 0.08 | 7.3x | 246 | 38% |
| MACD fast=16, slow=50, signal=10 |
0.8% | -87.6% | 0.16 | 0.01 | 1.4x | 464 | 53% |
| Buy and hold | -0.7% | -98.9% | 0.17 | -0.01 | 0.8x | 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, 28-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)