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 5.5%, MDD -38.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.5%, drawdown -97.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.8%, MDD -47.7%, Sharpe 0.59, 45% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 10.7%, MDD -77.1%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 5.5%, 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 |
9.8% | -47.7% | 0.59 | 0.21 | 16.0x | 159 | 45% |
| 볼린저 밴드 돌파 n=11, k=1.3 |
10.7% | -77.1% | 0.58 | 0.14 | 20.2x | 560 | 40% |
| 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 | 16.9x | 37 | 56% |
| EMA 크로스오버 fast=15, slow=172 |
9.5% | -64.5% | 0.54 | 0.15 | 14.7x | 63 | 56% |
| Donchian 채널 돌파 entryN=11, exitN=38 |
10.4% | -77.3% | 0.48 | 0.13 | 18.7x | 139 | 73% |
| ADX / DI 방향성 period=12, threshold=32 |
5.5% | -38.5% | 0.42 | 0.14 | 4.9x | 206 | 25% |
| Parabolic SAR step=0.015, maxStep=0.08 |
7.3% | -82.8% | 0.41 | 0.09 | 8.1x | 457 | 52% |
| Supertrend period=11, mult=3.1 |
6.7% | -77.6% | 0.39 | 0.09 | 6.8x | 191 | 56% |
| MACD fast=14, slow=24, signal=10 |
5.2% | -85.1% | 0.32 | 0.06 | 4.4x | 482 | 50% |
| Buy and hold | 2.5% | -97.8% | 0.26 | 0.03 | 2.1x | 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