Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Kier Group plc backtest
10 trend-following strategies were compared on the full daily history of Kier Group plc. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.4%, MDD -38.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.2%, drawdown -97.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -47.7%, Sharpe 0.58, 45% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 10.5%, MDD -77.1%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 5.4%, MDD -38.5%, exposure 25%).
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 n=199, threshold=0.09 |
9.5% | -47.7% | 0.58 | 0.20 | 14.9x | 158 | 45% |
| 볼린저 밴드 돌파 n=11, k=1.3 |
10.5% | -77.1% | 0.57 | 0.14 | 19.2x | 559 | 39% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=29, mult=1.8 |
6.9% | -40.0% | 0.56 | 0.17 | 7.2x | 148 | 15% |
| SMA 크로스오버 fast=72, slow=180 |
10.0% | -53.3% | 0.56 | 0.19 | 16.7x | 36 | 56% |
| EMA 크로스오버 fast=15, slow=172 |
9.2% | -64.5% | 0.53 | 0.14 | 13.4x | 63 | 56% |
| Donchian 채널 돌파 entryN=11, exitN=38 |
10.1% | -77.3% | 0.47 | 0.13 | 17.1x | 139 | 73% |
| ADX / DI 방향성 period=12, threshold=32 |
5.4% | -38.5% | 0.42 | 0.14 | 4.8x | 205 | 25% |
| Parabolic SAR step=0.015, maxStep=0.08 |
7.0% | -82.8% | 0.40 | 0.08 | 7.4x | 457 | 52% |
| Supertrend period=11, mult=3.1 |
6.4% | -77.6% | 0.38 | 0.08 | 6.3x | 191 | 56% |
| MACD fast=14, slow=24, signal=10 |
5.0% | -85.1% | 0.31 | 0.06 | 4.2x | 481 | 50% |
| Buy and hold | 2.2% | -97.8% | 0.25 | 0.02 | 1.9x | 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 199-day return is greater than 9%
- Sell — Sell when the 199-day return drops to 9% or below