Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Kingfisher Plc backtest
10 trend-following strategies were compared on the full daily history of Kingfisher Plc. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.4%, MDD -66.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.9%, drawdown -89.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -91.9%, Sharpe 0.27, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: SMA 크로스오버 — CAGR 8.4%, MDD -66.4%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by -2.0%p (CAGR 8.4%, MDD -66.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.12 |
7.1% | -91.9% | 0.27 | 0.08 | 13.8x | 115 | 98% |
| SMA 크로스오버 fast=31, slow=62 |
8.4% | -66.4% | 0.27 | 0.13 | 21.5x | 165 | 50% |
| Donchian 채널 돌파 entryN=11, exitN=75 |
4.8% | -89.7% | 0.22 | 0.05 | 5.9x | 127 | 85% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=2.7 |
5.9% | -24.3% | 0.21 | 0.24 | 9.0x | 86 | 16% |
| Supertrend period=7, mult=4.8 |
4.8% | -80.9% | 0.21 | 0.06 | 6.0x | 149 | 56% |
| EMA 크로스오버 fast=42, slow=196 |
2.1% | -63.6% | 0.20 | 0.03 | 2.2x | 56 | 59% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
2.7% | -83.5% | 0.17 | 0.03 | 2.8x | 239 | 46% |
| MACD fast=23, slow=56, signal=24 |
2.3% | -85.9% | 0.17 | 0.03 | 2.3x | 313 | 47% |
| ADX / DI 방향성 period=37, threshold=34 |
1.4% | -14.3% | 0.16 | 0.10 | 1.7x | 8 | 7% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-5.9% | -99.1% | 0.02 | -0.06 | 0.1x | 643 | 54% |
| Buy and hold | 7.9% | -89.9% | 0.28 | 0.09 | 18.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -12%
- Sell — Sell when the 8-day return drops to -12% or below